On Econometrics
[1] "Estimating the Differencing Parameter via the Partial Autocorrelation
Function," Journal of Econometrics (Impact factor=1.79), 97,
August 2000, pp. 365-381.
[2] "Structural Change in AR(1) Models," Econometric
Theory (Impact factor=0.768), 17, No. 1, February 2001, pp. 87-155. (The longest
article of the journal)
[3] "Generic Consistency of the Break-Point Estimator under Specification
Errors," Econometrics Journal (Impact factor=0.75), 6, June
2003, pp. 167-192.
[4] "The Polynomial Aggregated AR(1) Model," Econometrics
Journal (Impact factor=0.75), 9, March 2006, pp. 98-122.
[5] "A Class Test for Fractional Integration," (with Melvin Hinich),
Studies in Nonlinear Dynamics & Econometrics (Impact factor=0.702),
11, 2007, No. 2, Article 5.
[6] "Generic Consistency of the Break-Point Estimator under Specification
Errors in a Multiple-Break Model," (with Jushan Bai, Haiqiang Chen and
Xin Wang), Econometrics Journal (Impact factor=0.75), 11, July 2008,
pp. 287-307.
[7] "The Nonlinear Dynamics of Foreign Reserves and Currency Crises,"
(with Melvin Hinich and Qing He), Studies in Nonlinear Dynamics
& Econometrics (Impact factor=0.702), 12, 2008, No. 4, Article 2.
[8] "An Omnibus Test for Time Series Model I(d)," (with Melvin
Hinich), Communications in Statistics, Simulations and Computation,
38(1) January 2009, pp. 140 - 153.
On Finance
[9] "Determining the Contribution to Price Discovery for Chinese Cross-listed
Stocks" (with Qian Su), Pacific-Basin Finance Journal,
15, April 2007, pp. 140-153.
[10] "Do Momentum-based Strategies Work in Emerging Currency Markets?"
(with Hugo Ip), Pacific-Basin Finance Journal, 17, September
2009, pp. 479-493.
Others
[11] "What accounts for Chinese Business Cycle?" (with Qing He
and Kang Shi), China Economic Review (Impact factor=1.154), forthcoming.
[12] "The Empirical Quest for Pi," Computers and Mathematics
with Applications (Impact factor=0.997), 56, 2008, pp. 2772-2778.
Revise resubmission
[1] "A Competing Risks Analysis of Corporate Survival" (with Qing
He, Li Li and Jun Zhang), Financial Management (Impact factor=0.889), revised
resubmission.
[2] "Momentum Strategies based on Alpha Stock Selection Criteria "
(with Tszhang Siu), Journal of Banking and Finance (Impact factor=0.997), revised
resubmission.
[3] "Are Chinese Stock Market Cycles Duration Independent?" (with
Zimu Li and Haiqiang Chen), The Financial Review, revised
resubmission.
[4] "The Theory and Applications of TAR Model with two Threshold Variables
" (with Jushan Bai and Haiqiang Chen), Econometric Review (Impact factor=1.22),
revised resubmission.
[5] "Are Nonlinear Trading Rules Profitable in the U.S. Stock Market?"
(with Tau-Hing Lam), Quantitative Finance (Impact factor=0.892),
revised resubmission.
[6] "A Principal-Factor Approach to Measuring Investor Sentiment"
(with Xin Duan and Haiqiang Chen), Quantitative Finance
(Impact factor=0.892), revised resubmission.
[7] "Is the Chinese Composite Stock Index Efficient?" (with Tau-Hing
Lam and Isabel Yan), Quantitative Finance (Impact factor=0.892),
revised resubmission.
[8] "A Generalized Multiple-Threshold-Variable Model" (with Isabel
Yan), Journal of Time Series Econometrics, revised resubmission.
