Recent Publications

Selected Recent Publications

Gao, W.Y., & Li, Ming (2026) Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects, The Review of Economics and Statistics, Forthcoming, doi: https://doi.org/10.1162/REST.a.1708

Koch, T., Neira, D. E.B., Chen, Ying, Cortiana, G., Egger, D. J., Heese, R., Hegade, N. N., Gomez Cadavid, A., Huang, R., Itoko, T., Kleinert, T., Maciel Xavier, P., Mohseni, N., Montanez-Barrera, J. A., Nakano, K., Nannicini, G., O’Meara, C., Pauckert, J., Proissl, M., Ramesh, A., Schicker, M., Shimada, N., Takeori, M., Valls, V., Van Bulck, D., Woerner, S., and Zoufal, C. (2026). Quantum Optimization Benchmarking Library: The Intractable Decathlon. Nature Computational Science, Forthcoming. https://doi.org/10.48550/arXiv.2504.03832

Chen, Ying, Horst, U., & Tran, H. H., (2025). Optimal Trade Execution under Endogenous Order Flow. Operations Research. https://doi.org/10.1287/opre.2023.0151

Chen, Ying, 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, Chang (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, Ming (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, Karsten., & Schmickler, S. N. M. (2025). Interacting anomalies. Review of Asset Pricing Studies, 15(2), 162-216. https://doi.org/10.1093/rapstu/raaf001

Müller, Karsten, & 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, Yi-Chun, 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, Yi-Chun, 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, Min, 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, Yi-Chun, & 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, Ying, 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, Min, Kou, Steven, 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, Yi-Chun, 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, Yi-Chun, 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, Ying, & Kou, Steven (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, Min, 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, Min, Jia, Y., & Kou, Steven (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, Min, Jin, H., Kou, Steven, & 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

Xu, X., Chen, Ying, 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, Ying, 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, Yi-Chun, 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, Yeneng (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, Yeneng, & Yu, H. (2020). The Individualistic Foundation of Equilibrium Distribution. Journal of Economic Theory, 189. https://doi.org/10.1016/j.jet.2020.105083

Chen, Yi-Chun, He, W., & Li, J., and Sun, Yeneng (2019). Equivalence of Stochastic and Deterministic Mechanisms. Econometrica, 87, 1367-1390. https://doi-org.libproxy1.nus.edu.sg/10.3982/ECTA14698

Dai, Min, 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, Yeneng (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, Yi-Chun, & 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, Min (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, Jussi, & 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, Steven, & 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, Steven, 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, Yeneng (2018). Dynamic Directed Random Matching. Journal of Economic Theory, 174, 124-183, https://doi.org/10.1016/j.jet.2017.11.011

Ning, J., Babich, V., Handley, J., & Keppo, Jussi (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, Steven, 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, Min, 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, Jin-Chuan (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, Jin-Chuan, & 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

Kou, Steven, & 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, Seyoung (2016). Unemployment Risks and Optimal Retirement in an Incomplete Market. Operations Research, 64(4), 1015–1032. http://www.jstor.org/stable/24740506

Dai, Min, 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, Jin-Chuan, & 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

Cai, N., Song, Y., & Kou, Steven (2015). A General Framework for Pricing Asian Options Under Markov Processes. Operations Research, 63(3), 540–554. http://www.jstor.org/stable/24540394

Other Recent Publications

Rong, G., Chen, Ying, Koch, T., & Honda, K. (2026). Assessing Data Quality in Citation Analysis: A Case Study of Web of Science and CrossRef. Journal of Informetrics, 20(1), 1751-1577. https://doi.org/10.1016/j.joi.2026.101775.

Chen, Ying, Griffin, P., RECCHIA, P., Zhou, L., and Zhang, H. (2026). Hybrid Quantum Neural Networks with Amplitude Encoding: Advancing Recovery Rate Predictions. Financial Innovation, forthcoming.

Gu, D., Gui, Zhengqing, & Huang, Y. (2026). Fintech Market and Regulation: Lessons from China's Peer-to-Peer Lending Platforms. Journal of Corporate Finance, 98, 0929-1199. https://doi.org/10.1016/j.jcorpfin.2026.102969

Xu, X., Peng, H., & Chen, Ying (2026). Deep Switching State Space Model for Nonlinear Time Series Forecasting with Regime Switching. International Journal of Forecasting, 42(1), 85-98. https://doi.org/10.1016/j.ijforecast.2025.05.001

Chen, Yi-Chun, 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, Yi-Chun, & Gui, Zhengqing (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, Yi-Chun (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, Tuoyuan, Poreddy, S. R., & Chen, Kan (2025). Tail Risk in Weather Derivatives. Commodities, 4(2), 11. https://doi.org/10.3390/commodities4020011

Cheng, Tuoyuan, Lesmana, N. S., Poreddy, S. R., & Chen, Kan (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, Ying, 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, Ying, 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

Zhou, L., Chen, Ying, 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, Ying & 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

Gui, Zhengqing, Huang, Y., & Zhao, X. (2024). Financial Fraud and Investor Awareness. Journal of Economic Behavior & Organization, 219, 104-123. https://doi.org/10.1016/j.jebo.2024.01.006

Trimborn, S., Peng, H., & Chen, Ying (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, Ying, 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, Ying, 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, Chao (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, Chao (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, Chao (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, Kan, & Cheng, Tuoyuan (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, Yi-Chun, 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, Chao (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, Chao (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, Ying, & Koch, T. (2022). Variational Bayesian Inference for Network Autoregression Models. Computational Statistics & Data Analysis, 169. https://doi.org/10.1016/j.csda.2021.107406

Pham, H., Wei, X., & Zhou, Chao (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, Chao (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, Min, Kou, Steven, & 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

Bian, B., Chen, X., Dai, Min, & Qian, S. (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, Min, Jin, H., Kou, Steven, & 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, Yi-Chun, 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, Ying, 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, Ying, & 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, Zhaoli (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

Chen, Ying, 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