Selected Recent Publications
Chen, Y.C. Kunimoto, T., Sun, Y. (2023) Continuous Implementation with Payoff Knowledge, Journal of Economic Theory, forthcoming.
Xu, X., Chen, Y., Zhang, G. & Koch, T. (2022) Modeling functional time series and mixed-type predictors with partially functional autoregression, Journal of Business & Economic Statistics, 10.1080/07350015.2021.2011299.
Chen, Y.C., Holden, R., Kunimoto, T., Sun, Y., & Wilkening, T. (2022) Getting Dynamic Implementation to Work, Journal of Political Economy, forthcoming.
Dai, M., Kou, S., Qian, S., & Wan, X. Non-concave utility optimization with portfolio bounds, Management Science, forthcoming.
Dai, M., Jiang, Y., Liu, H., & Xu, J. A rational theory for disposition effects, Review of Economic Dynamics, forthcoming.
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, 117465.
Chen, Y.C., & Hu, G. A Theory of Stability in Matching with Incomplete Information, American Economic Journal: Microeconomics, forthcoming.
Chen, Y.C., Mueller-Frank, M., & Pai, M. Continuous Implementation with Direct Revelation Mechanisms, Journal of Economic Theory, forthcoming.
Chen, Y.C., Kunimoto, T., Sun, Y., & Xiong, S. Maskin Meets Abreu and Matsushima. Theoretical Economics, forthcoming.
Y. Chen, X. Xu, T. Koch; Day-Ahead High-Resolution Forecasting of Natural Gas Demand and Supply in Germany with a Hybrid Model. Applied Energy 262 (2020), 114486.
Y. Chen, M. Dai, L. Goncalves-Pinto, J. Xu, C. Yan. Incomplete Information and the Liquidity Premium Puzzle. Management Science, forthcoming.
Y.C. Chen, G. Hu; Learning by Matching. Theoretical Economics, 15(1)(2020), 29-56.
M. Dai, Y. Jia, S. Kou. The Wisdom of the Crowd and Prediction Markets, Journal of Econometrics, forthcoming.
W. He, Y.N. Sun; Dynamic Games with (Almost) Perfect Information. Theoretical Economics, 15(2) (2020), 811-859 (plus 36 pages of online supplement).
X. Sun, Y.N. Sun, H. Yu; The Individualistic Foundation of Equilibrium Distribution. Journal of Economic Theory,189 (2020), Article 105083 (28 pages).
Y. Chen, J.S. Marron, J. Zhang; Modeling Seasonality and Serial Dependence of Electricity Price Curves with Warping Functional Autoregressive Dynamics. Annals of Applied Statistics 13(3) (2019), 1590-1616.
M. Dai , H. Jin, S. Kou, Y. Xu; A Dynamic Mean-Variance Analysis for Log Returns. Management Science, (2019), forthcoming.
H. Shao; An Axiomatization of Medians on the Domain of Distribution Functions. Operations Research, (2019), forthcoming.
Y.C. Chen, W. He, J. Li, Y.N. Sun; Equivalence of Stochastic and Deterministic Mechanisms, Econometrica, 87 (2019), 1367-1390.
M. Dai, L. Goncalves-Pinto, J. Xu; How Does Illiquidity Affect Delegated Portfolio Choice? Journal of Financial and Quantitative Analysis, 54 (2019), 539-585.
W. He, Y.N. Sun; Pure-Strategy Equilibria in Bayesian Games, Journal of Economic Theory, 180 (2019), 11-49.
Y.C. Chen, J. Li; Revisiting the Foundations of Dominant-Strategy Mechanisms, Journal of Economic Theory, 178 (2018), 294-317.
J. Cai, X. Chen, M. Dai; Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching. Management Science, 64 (2018), 2308-2324.
V. Babich, J. Handley, J. Ning, J. Keppo; Risk-Aversion and B2B Contracting under Asymmetric Information: Evidence from Managed Print Services. Operations Research, 66 (2018), 392-408.
J. Keppo, J. Korte; Risk Targeting and Policy Illusions - Evidence from the Announcement of the Volcker Rule. Management Science, 64 (2018), 215-234.
N. Chen, S. Kou, C. Wang; A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science, 64 (2018), 784-803.
S. Kou, X.H. Peng, H. Zhong; Asset Pricing with Spatial Interaction. Management Science, 64 (2018), 2083-2101.
D. Duffie, L. Qiao, Y.N. Sun; Dynamic Directed Random Matching. Journal of Economic Theory, 174 (2018), 124-183.
S. Kou, C. Yu, H. Zhong; Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Management Science, 63 (2017), 988-1010.
M. Dai, P.F. Li, H. Liu, Y. Wang; Portfolio Choice with Market Closure and Implications for Liquidity Premia. Management Science, 62 (2016), 368-386.
J.C. Duan; Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure. Journal of Econometrics, 192 (2016), 349-359.
J.C. Duan, W. Miao; Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics, 34 (2016), 536-546.
S. Kou, X.H. Peng; On the Measurement of Economic Tail Risk. Operations Research, 64 (2016), 1056-1072.
A. Bensoussan, B.G. Jang, S. Park; Unemployment Risks and Optimal Retirement in an Incomplete Market. Operations Research, 64 (2016), 1015-1032.
M. Dai, H. Liu, C. Yang, Y.F. Zhong; Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax. Review of Financial Studies, 29 (2015), 2687-2721.
J.C. Duan, A. Fulop; Density-Tempered Marginalized Sequential Monte Carlo Samplers. Journal of Business and Economic Statistics, 33 (2015), 192-202.
N. Cai, S. Kou, Y. Song; A General Framework for Pricing Asian Options under Markov Processes. Operations Research, 63 (2015), 540-554.
Other Recent Publications
Chen, Y., Chen, CH., Honda, K., Koch, T., Liu, K., Nakano, J., Xu, Z., & Zakiyeva, N. (2023)Article’s Scientific Prestige: measuring the impact of individual articles in the Web of Science. Journal of Informetrics. Volume 17, Issue 1, doi.org/10.1016/ j.joi.2023.101379.
Chen, T., Chen, K. (2022) Measuring Tail Risks, The Journal of Finance and Data Science,Volume 8, Pages 296-308.
Lai, W.T., Chen, R.B., Chen, Y., & Koch, T. (2022) Variational Bayesian Inference for Network Autoregression Models. Computational Statistics and Data Analysis, Volume 169, 107406
Chen, Y.C., Takahashi, S., Xiong, S. (2022) Robust Refinement of Rationalizability with Arbitrary Payoff Uncertainty. Games and Economic Behavior. Published online.
Fu, G., Zhou, C. (2022) Mean Field Portfolio Games, Finance & Stochastics. 27, 189-231.
Chassagneux, J.-F., Chen, J., Frikha, N., & Zhou, C. (2022) A learning scheme by sparse gridsand Picard approximations for semilinear parabolic PDEs, IMA Journal of Numerical Analysis. Published online.
Bo, L., Capponni, A., Zhou, C. (2022) Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Mathematics of Operations Research. Published online.
Mou, C., Yang, X., Zhou, C. (2022) Numerical methods for mean field games based on Gaussian processes and Fourier features. Journal of Computational Physics, Published online.
Du, Q., Gu, Y., Yang, H., & Zhou, C; The Discovery of Dynamics Via Linear Multistep Methods and Deep Learning: Error Estimation. SIAM Journal on Numerical Analysis 60(4) (2022) 2014-2045.
Bian, B., Chen, X., Dai, M., & Qian, S. (2021). Penalty Method for Portfolio Selection with Capital Gains Tax, Mathematical Finance, 31(3), 1013-1055.
Dai, M., Jin, H., Kou, S., Xu, Y. (2021). Robo-advising: A Dynamic Mean-Variance Approach, Digital Finance, 3, 81-97.
Chen, Y.C., Kunimoto, T., Sun, Y., & Xiong, S. (2021). Rationalizable Implementation in Finite Mechanisms, Games and Economic Behavior, 129, 181-197.
Lai, W., Chen, R.B., Chen, Y., & Koch, T. (2021). Variational Bayesian Inference for Network Autoregression Models, Computational Statistics and Data Analysis, 169, 107406.
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.
Liu, P., Chen, Y., & Teo, C.P. (2021). Limousine Service Management: Capacity Planning with Predictive Analytics and Optimization, INFORMS Journal on Applied Analytics, 51(4), 245-348.
Xu, X., Chen, Y., & Kou, S. (2021). Discussion on Kelly, B. T., Manela, A., and Moreira, A. (2021), “Text Selection”, Journal of Business & Economic Statistics, 39(4), 883-887.
He, X., & Jiang, Z. (2021). Optimal Payoff under the Generalized Dual Theory of Choice, Operations Research Letters, 49(3), 372-376.
Pham, H., Wei, X., & Zhou, C. (2022). Portfolio diversification and model uncertainty: A robust dynamic mean-variance approach, Mathematical Finance, 32(1):349-404.
Mou, C., Yang, X., & Zhou, C. Numerical methods for mean field games based on Gaussian processes and Fourier features, Journal of Computational Physics, Published online.
Y. Chen, J.S. Marron, J. Zhang; Modeling Seasonality and Serial Dependence of Electricity Price Curves with Warping Functional Autoregressive Dynamics. Annals of Applied Statistics, 13(3) (2019), 1590-1616.
M. Dai, S. Kou, C. Yang; A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Mathematics of Operations Research, forthcoming.