Singapore Economic Review, 2018
Journal of Econometrics, 2018, 205, 1, 156-176
Scandinavian Journal of Statistics, 2018, 45, 4, 962-984
Journal of Econometrics (accepted), 2020, 216(2), 450-493
Journal of Econometrics, 2017, 201, 2, 400-416
Journal of Banking & Finance, 2015, 61, 121-131