Research Interests
Financial Econometrics, Time Series, Forecasting, Empirical Finance
Recent Publications
Published Papers
Hafner, C. M., Linton, O. B. and Wang, L. Dynamic Autoregressive Liquidity (DArLiQ), Journal of Business & Economic Statistics (2023) pp. 1-12Vrins, F. and Wang, L. Asymmetric Short-Rate Model without Lower Bound, Quantitative Finance, forthcoming (2023)
Cambridge Working Papers in Economics
Hafner, C. M., Linton, O. B., Wang, L. The Effect of Stock Splits on Liquidity in a Dynamic Model, (2024) CWPE2410Keynes Fund Sponsored Projects
Linton, O. and Wang, L., Robust Estimation of Realized Illiquidity Using High-Frequency Data (JHXB)