The
Elements of Financial Econometrics, 2015, with J. Fan.
Nonlinear Time Series:
Nonparametric and Parametric Methods, 2003, with J. Fan.
Non-/Semi-parametric inference for
conditional distributions
Extreme values of dependent data
Non-/Semi-parametric regression
Change-points (a few old papers)
Asymptotic theory, tools for dependence data
Collaboration with industry, scientists in
other disciplines
Published research papers -- a combined list