"Time-Varying Coefficient Modeling for Factor Selection in Asset Pricing", General Research Fund - HKRGC, (2024-2026), Guanhao Feng, Jiangshan Yang
"Estimating and Testing Time Variation Modeling Misspecification", General Research Fund - HKRGC, (2024-2026), Liyuan Cui, Guanhao Feng
"A Distribution-Free Model of Time Series", General Research Fund - HKRGC, (2024-2025), Zhi Chen
"Regression Tree for Portfolio Optimization and Imbalanced Data", General Research Fund - HKRGC, (2023-2025), Jingyu He, Guanhao Feng, Xin He
"Capital Market Opening and Risk Management: Evidence from Mainland-Hong Kong Stock Connect", Youth Scientists Fund - NSFC, (2023-2025), Guanhao Feng
"Robust Mechanism Design with Limited Information", General Research Fund - HKRGC, (2023-2025), Zhi Chen
"Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods", NSFC/RGC Joint Research Scheme - NSFC, (2022-2025), Jingyu He, Zhi Chen
"Textual Analysis of Corporate Bond Market", General Research Fund - HKRGC, (2022-2024), Guanhao Feng, Junbo Wang, Xin He
"High Dimensional Time-varying Forecast Combination: A Unified Approach for Abrupt and Smooth Instabilities", General Research Fund - HKRGC, (2022-2023), Liyuan Cui
"XBART, a novel tree-based machine learning framework for regression, classification and treatment effect estimation", Early Career Scheme - HKRGC, (2022-2023), Jingyu He
"Estimation and Inference of Large Dimensional Unobservable Dynamic Uncertainties", General Research Fund - HKRGC, (2021-2022), Liyuan Cui
"The Hurwicz Criterion for Data-Driven Decision-Making under Uncertainty", Early Career Scheme - HKRGC, (2020-2023), Zhi Chen
"A Deep-Learning Approach in Asset-Pricing Anomalies", Early Career Scheme - HKRGC, (2019-2021), Guanhao Feng
"Non-parametric Effective Estimation Method for Non-linear and Non-stationary Variables and Its Application in Capital Asset Pricing Theory", Youth Scientists Fund - NSFC, (2019-2021), Liyuan Cui
"A Mixed Convex Penalized Machine Learning Approach for High-Dimensional Financial Data with its Application on Vast Portfolio Selections", General Research Fund - HKRGC, (2019-2020), Liyuan Cui
"A Local Series Estimation Method with its Application in Solving Asset Pricing Models with Time-Varying State Variables", Early Career Scheme - HKRGC, (2018-2019), Liyuan Cui