Selected Recent Publications
Chen, Y. C., Hu, G., & Yang, X. (2025). Information Design in Allocation with Costly Verification. International Economic Review (Philadelphia), 66(3), 1267-1285. https://doi.org/10.1111/iere.12754
Chen, Y., Grith, M., & Lai, H. L. H. (2025). Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. Journal of Business & Economic Statistics, 1-15. https://doi.org/10.1080/07350015.2025.2489087
Deng, M., & Liu, C. (2025). Public Financing under Balanced Budget Rules. Review of Economic Dynamics, 56. https://doi.org/10.1016/j.red.2025.101275.
Andrews, D.W.K. and Li, M. (2025). Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter model. Quantitative Economics, 16(3), 823-858. https://doi-org.libproxy1.nus.edu.sg/10.3982/QE2465
Müller, K., & Schmickler, S. N. M. (2025). Interacting anomalies. Review of Asset Pricing Studies, 15(2), 162-216. https://doi.org/10.1093/rapstu/raaf001
Müller, K., & Verner, E. (2024). Credit Allocation and Macroeconomic Fluctuations. The Review of Economic Studies, 91(6), 3645–3676. https://doi-org.libproxy1.nus.edu.sg/10.1093/restud/rdad112
Chen, Y.C., Kunimoto, T., & Sun, Y. (2023). Continuous implementation with payoff knowledge. Journal of Economic Theory, 209. https://doi.org/10.1016/j.jet.2023.105624.
Chen, Y. C., Holden, R., Kunimoto, T., Sun, Y., & Wilkening, T. (2023). Getting Dynamic Implementation to Work. The Journal of Political Economy, 131(2), 285-387. https://doi.org/10.1086/721153
Dai, M., Jiang, Y., Liu, H., & Xu, J. (2023). A Rational Theory for Disposition Effects. Review of Economic Dynamics, 47, 131-157. https://doi.org/10.1016/j.red.2021.11.003
Chen, Y. C., & Hu, G. (2023). A Theory of Stability in Matching with Incomplete Information. American Economic Journal: Microeconomics, 15(1), 288-322. https://doi.org/10.1257/mic.20200411
Xu, X., Chen, Y., Zhang, G., & Koch, T. (2022). Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional Autoregressions. Journal of Business & Economic Statistics, 42(2), 349–366. https://doi-org.libproxy1.nus.edu.sg/10.1080/07350015.2021.2011299
Dai, M., Kou, S., Qian, S., & Wan, X. (2022). Nonconcave Utility Optimization with Portfolio Bounds. Management Science, 68 (11), 7793-8514. https://doi.org/10.1287/mnsc.2021.4228
Chen, Y. C., Mueller-Frank, M., & Pai, M. M. (2022). Continuous Implementation with Direct Revelation Mechanisms. Journal of Economic Theory, 201. https://doi.org/10.1016/j.jet.2022.105422
Chen, Y. C., Kunimoto, T., Sun, Y. & Xiong, S. (2022). Maskin Meets Abreu and Matsushima. Theoretical Economics, 17, 1683-1717. https://doi-org.libproxy1.nus.edu.sg/10.3982/TE4255
Xu, X., Chen, Y., & Kou, S. (2021). Discussion on “Text Selection”. Journal of Business & Economic Statistics, 39(4), 883–887. https://doi-org.libproxy1.nus.edu.sg/10.1080/07350015.2021.1942890
Chen, Y., Dai, M., Goncalves-Pinto, L., Xu, J., & Yan, C. (2021). Incomplete Information and the Liquidity Premium Puzzle. Management Science, 67(9), 5703-5729. https://doi.org/10.1287/mnsc.2020.3726
Dai, M., Jia, Y., & Kou, S. (2021). The Wisdom of the Crowd and Prediction Markets. Journal of Econometrics, 222(1B), 561-578. https://doi.org/10.1016/j.jeconom.2020.07.016
Dai, M., Jin, H., Kou, S., & Xu, Y. (2021). A Dynamic Mean-Variance Analysis for Log Returns. Management Science, 67(2), 1093+. http://dx.doi.org.libproxy1.nus.edu.sg/10.1287/mnsc.2019.3493
Chen, Y.C., and Hu, G. (2020). Learning by Matching. Theoretical Economics, 15(1), 29-56. https://doi-org.libproxy1.nus.edu.sg/10.3982/TE3088
He, W., & Sun, Y. (2020). Dynamic Games with (Almost) Perfect Information. Theoretical Economics, 15, 811-859. https://doi-org.libproxy1.nus.edu.sg/10.3982/TE2927
Sun, X., Sun, Y., & Yu, H. (2020). The Individualistic Foundation of Equilibrium Distribution. Journal of Economic Theory, 189. https://doi.org/10.1016/j.jet.2020.105083
Chen, Y. C., He, W., & Li, J., and Sun, Y. (2019). Equivalence of Stochastic and Deterministic Mechanisms. Econometrica, 87, 1367-1390. https://doi-org.libproxy1.nus.edu.sg/10.3982/ECTA14698
Dai, M., Goncalves-Pinto, L., & Xu, J. (2019). How Does Illiquidity Affect Delegated Portfolio Choice? The Journal of Financial and Quantitative Analysis, 54(2), 539–585. https://www.jstor.org/stable/26673001
He, W., & Sun, Y. (2019). Pure-strategy Equilibria in Bayesian Games. Journal of Economic Theory, 180, 11-49. https://doi.org/10.1016/j.jet.2018.11.007
Chen, Y. C., & Li, J. (2018). Revisiting the Foundations of Dominant-Strategy Mechanisms. Journal of Economic Theory, 178, 294-317. https://doi.org/10.1016/j.jet.2018.10.001
Cai, J., Chen, X., & Dai, M. (2018). Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching. Management Science, 64(5), 2308–2324. https://www.jstor.org/stable/48748137
Keppo, J., & Korte, J. (2018). Risk Targeting and Policy Illusions—Evidence from the Announcement of the Volcker Rule. Management Science, 64(1), 215–234. https://www.jstor.org/stable/48747952
Chen, N., Kou, S., & Wang, C. (2018). A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science, 64(2), 784–803. https://www.jstor.org/stable/48747983
Kou, S., Peng, X., & Zhong, H. (2018). Asset Pricing with Spatial Interaction. Management Science, 64(5), 2083–2101. https://www.jstor.org/stable/48748125
Duffie, D., Qiao, L., & Sun, Y. (2018). Dynamic Directed Random Matching. Journal of Economic Theory, 174, 124-183, https://doi.org/10.1016/j.jet.2017.11.011
Kou, S., Yu, C., & Zhong, H. (2017). Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Management Science, 63(4), 988–1010. http://www.jstor.org/stable/44166630
Dai, M., Li, P., Liu, H., & Wang, Y. (2016). Portfolio Choice with Market Closure and Implications for Liquidity Premia. Management Science, 62(2), 368–386. http://www.jstor.org/stable/43835013
Duan, J. C. (2016). Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure. Journal of Econometrics, 194(2), 349-359. https://doi.org/10.1016/j.jeconom.2016.05.012.
Duan, J. C., & Miao, W. (2016). Default Correlations and Large-Portfolio Credit Analysis. Journal of Business & Economic Statistics, 34(4), 536–546. https://doi-org.libproxy1.nus.edu.sg/10.1080/07350015.2015.1087855
Dai, M., Liu, H., Yang, C., & Zhong, Y. (2015). Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax. The Review of Financial Studies, 28(9), 2687–2721. http://www.jstor.org/stable/24466913
Duan, J. C., & Fulop, A. (2015). Density-Tempered Marginalized Sequential Monte Carlo Samplers. Journal of Business & Economic Statistics, 33(2), 192–202. https://doi-org.libproxy1.nus.edu.sg/10.1080/07350015.2014.940081
Other Recent Publications
Chen, Y. C., & Gui, Z. (2025). A Tale of Two Monopolies. EC '25: Proceedings of the 26th ACM Conference on Economics and Computation, 1155. https://doi.org/10.1145/3736252.3742680
Banerjee, S., Sun, Y., & Chen, Y. C. (2025). Correlated Equilibrium Implementation: Navigating toward Social Optima with Learning Dynamics. EC '25: Proceedings of the 26th ACM Conference on Economics and Computation, 944. https://doi.org/10.1145/3736252.3742653
Cheng, T., Poreddy, S. R., & Chen, K. (2025). Tail Risk in Weather Derivatives. Commodities, 4(2), 11. https://doi.org/10.3390/commodities4020011
Cheng, T., Lesmana, N. S., Poreddy, S. R., & Chen, K. (2025). Predictive Uncertainty Quantification for Financial DNN Using Regular Vine Copula. ICAIF '25: Proceedings of the 6th ACM International Conference on AI in Finance, 873-881. https://doi.org/10.1145/3768292.377125
Rong, G., Chen, Y., Ma, F., & Koch, T. (2025). Exploring Interdisciplinary Research Trends Through Critical Years for Interdisciplinary Citation. Journal of Informetrics, 19(4). https://doi.org/10.1016/j.joi.2025.101726
Chen, Y., Horst, U., & Tran, H. H. (2025). Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters. Applied Mathematical Finance, 32(1), 1–29. https://doi.org/10.1080/1350486X.2025.2537932
Chen, Y., Horst, U., & Tran, H. H., (2025). Optimal Trade Execution under Endogenous Order Flow. Operations Research, 1-21. https://doi.org/10.1287/opre.2023.0151
Xu, X., Peng, H., & Chen, Y. (2025). Deep Switching State Space Model for Nonlinear Time Series Forecasting with Regime Switching. International Journal of Forecasting. https://doi.org/10.1016/j.ijforecast.2025.05.001
Zhou, L., Chen, Y., Peng, H., & Koch, T. (2025). Is Innovation Slowing Down? Insights from the AIMS Framework of Patent Values. Expert Systems with Applications, 280. https://doi.org/10.1016/j.eswa.2025.127355
Han, X., Zhu, Y., Chen, Y. & Zhang, X. (2025). Policy Impact on the Global COVID-19 Pandemic and Unemployment Outcomes: A Large-Scale Mixed Frequency Spatial Approach. Economic Modelling, 151. https://doi.org/10.1016/j.econmod.2025.107160
Trimborn, S., Peng, H., & Chen, Y. (2024). Influencer Detection Meets Network Autoregression — Influential Regions in the Bitcoin Blockchain. Journal of Empirical Finance, 78. doi.org/10.1016/j.jempfin.2024.101529
Chen, Y., Giudici, P., Liu, K., & Raffinetti, E. (2024). Measuring Fairness in Credit Ratings. Expert Systems with Applications, 258. https://doi.org/10.1016/j.eswa.2024.125184
Chen, Y., Koch, T., Zakiyeva, N., Liu, K., Xu, Z., Chen, C. H., Nakano, J., & Honda, K. (2023). Article’s Scientific Prestige: Measuring the Impact of Individual Articles in the Web of Science. Journal of Informetrics, 7(1). https://doi.org/10.1016/j.joi.2023.101379
Fu, G., & Zhou, C. (2023). Mean Field Portfolio Games. Finance & Stochastics, 27(1), 189–231. https://doi-org.libproxy1.nus.edu.sg/10.1007/s00780-022-00492-9
Chassagneux, J. F., Chen, J., Frikha, N., & Zhou, C. (2023). A Learning Scheme by Sparse Grids and Picard Approximations for Semilinear Parabolic PDEs. IMA Journal of Numerical Analysis, 43(5), 3109–3168. https://doi-org.libproxy1.nus.edu.sg/10.1093/imanum/drac066
Bo, L., Capponi, A., & Zhou, C. (2023). Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Mathematics of Operations Research, 48(1), 288-312. https://doi.org/10.1287/ moor.2022.1262
Chen, K., & Cheng, T. (2022). Measuring tail risks. The Journal of Finance and Data Science, 8, 296-308, https://doi.org/10.1016/j.jfds.2022.11.001
Chen, Y. C., Takahashi, S., & Xiong, S. (2022). Robust Refinement of Rationalizability with Arbitrary Payoff Uncertainty. Games and Economic Behavior, 136, 485-504. https://doi.org/10.1016/j.geb.2022.10.009
Mou, C., Yang, X., & Zhou, C. (2022). Numerical Methods for Mean Field Games Based on Gaussian Processes and Fourier Features. Journal of Computational Physics, 460. https://doi.org/10.1016/j.jcp.2022.111188
Du, Q., Gu, Y., Yang, H., & Zhou, C. (2022). The Discovery of Dynamics via Linear Multistep Methods and Deep Learning: Error Estimation. SIAM Journal on Numerical Analysis, 60(4), 2014-2045. https://doi.org/10.1137/21M140691X
Lai, W. T., Chen, R. B., Chen, Y., & Koch, T. (2022). Variational Bayesian Inference for Network Autoregression Models. Computational Statistics & Data Analysis, 169. https://doi.org/10.1016/j.csda.2021.107406
, , & . (2022). Portfolio Diversification and Model Uncertainty: A Robust Dynamic Mean-Variance Approach. Mathematical Finance, 32(1), 349–404. https://doi-org.libproxy1.nus.edu.sg/10.1111/mafi.12320
Mou, C., Yang, X., & Zhou, C. (2022). Numerical Methods for Mean Field Games Based on Gaussian Processes and Fourier Features. Journal of Computational Physics, 460. https://doi.org/10.1016/j.jcp.2022.111188
Dai, M., Kou, S., & Yang, C. (2022). A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Mathematics of Operations Research, 47 (3), 1707-1730. https://doi.org/10.1287/moor.2020.1061
, , , & . (2021). Penalty Method for Portfolio Selection with Capital Gains Tax. Mathematical Finance, 31(3), 1013–1055. https://doi-org.libproxy1.nus.edu.sg/10.1111/mafi.12309
Dai, M., Jin, H., Kou, S., & Xu, Y. (2021). Robo-Advising: a Dynamic Mean-Variance Approach. Digit Finance, 3, 81–97. https://doi.org/10.1007/s42521-021-00028-4
Chen, Y. C., Kunimoto, T., Sun, Y., & Xiong, S. (2021). Rationalizable Implementation in Finite Mechanisms. Games and Economic Behavior, 129, 181-197. https://doi.org/10.1016/j.geb.2021.06.001
Lin, L.C., Chen, Y., Pan, G., & Spokoiny, V. (2021). Efficient and Positive Semidefinite Pre-Averaging Realized Covariance Estimator. Statistica Sinica, 31(3), 1441–1462. https://www.jstor.org/stable/27034825
Liu, P., Chen, Y., & Teo, C. (2021). Limousine Service Management: Capacity Planning with Predictive Analytics and Optimization. INFORMS Journal on Applied Analytics, 51(4), 280-296. https://doi.org/10.1287/inte.2021.1079
He, X. D., & Jiang, Z. (2021). Optimal Payoff under the Generalized Dual Theory of Choice. Operations Research Letters, 49(3), 372-376. https://doi.org/10.1016/j.orl.2021.03.008
Xu, X., Chen, Y., Goude, Y., & Yao, Q. (2021). Day-ahead Probabilistic Forecasting for French Half-hourly Electricity Loads and Quantiles for Curve-to-Curve Regression. Applied Energy, 301. https://doi.org/10.1016/j.apenergy.2021.117465
Chen, Y., Xu, X., & Koch, T. (2020). Day-Ahead High-Resolution Forecasting of Natural Gas Demand and Supply in Germany with a Hybrid Model. Applied Energy, 262. https://doi.org/10.1016/j.apenergy.2019.114486
Chen, Y., Marron, J. S., & Zhang, J. (2019). Modeling Seasonality and Serial Dependence of Electricity Price Curves with Warping Functional Autoregressive Dynamics. The Annals of Applied Statistics, 13(3), 1590–1616. https://www.jstor.org/stable/26866697
Ning, J., Babich, V., Handley, J., & Keppo, J. (2018). Risk-Aversion and B2B Contracting Under Asymmetric Information: Evidence from Managed Print Services. Operations Research, 66(2), 392–408. https://www.jstor.org/stable/48748253
Kou, S., & Peng, X. (2016). On the Measurement of Economic Tail Risk. Operations Research, 64(5), 1056–1072. http://www.jstor.org/stable/26153487
Bensoussan, A., Jang, B.-G., & Park, S. (2016). Unemployment Risks and Optimal Retirement in an Incomplete Market. Operations Research, 64(4), 1015–1032. http://www.jstor.org/stable/24740506