Papers

*.Biases in High Frequency Estimates of the Leverage Effect Parameter, 2011,with Yacine Ait-Sahalia and Jianqing Fan, in revision.

*.Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection, 2010, with Jianqing Fan and Ke Yu, to appear in Journal of the American Statistical Association.

*.On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, 2010, with Xinghua Zheng, to appear in Annals of Statistics.

*.Realized Volatility When Sampling Times are Possibly Endogenous, 2009, with Per Mykland, Eric Renault, Lan Zhang and Xinghua Zheng, in revision.

*. Rounding Errors and Volatility Estimation. 2009 With Per A. Mykland, in revision.

*.Microstructure Noise in the Continuous Case: The Pre-Averaging Approach, Stochastic Processes and their Applications. 119(7), 2009, 2249-2276. With Jean Jacod, Per A. Mykland, Mark Podolskij and Mathias Vetter.

*. Are Volatility Estimators Robust with Respect to Modeling Assumptions? , Bernoulli, 13(3), 2007, 601-622. With Per A. Mykland.

*. On Euler's Constant--Calculating Sums by Integrals. Amer.math. Monthly, Sep.2002, 845-850 

*. The Influence Analysis of Parameter Estimation in Linear Errors-in-Variables Modle. Outstanding Undergraduate Thesis, Beijing Normal University (2003)

*. The Magic of Lottery VS the Power of Mathematics (in Chinese, National First prize in the China Undergraduate Mathematical Contest in Modeling (CUMCM) 2002), with Dejun Luo, Yong Zhang

*. Three-Dimensional Reconstruction of a Blood Vessel (in Chinese, National First prize in CUMCM 2001), with Xihan Mu, Yan Li

My CV

My Citations