Working Papers:

The Causal Impact of Macroeconomic Uncertainty on Expected Returns
Revised September 2020.
Presentations:  Chicago Booth Finance Brownbag.

High-Frequency Expectations from Asset Prices: A Machine Learning Approach
(with Sangmin Oh) Revised September 2020.
Presentations: Chicago Econ Macro / Monetary Reading Group, Chicago Booth Finance Brownbag, 2020 Bergen FinTech Conference (Scheduled), Bank of England Conference on Modeling with Big Data & Machine Learning: Measuring Economic Instability (Scheduled).
Awards: Arnold Zellner Doctoral Prize 2020.


Uncertainty Assessment and False Discovery Rate Control in High-Dimensional Granger Causal Inference
(with Pan Xu and Quanquan Gu) In Proc. of the 34th International Conference on Machine Learning (ICML) Sydney, Australia, 2017.