Publication and Forthcoming:

1.  He, W., Mei, X., Zhong, W. and Zhu, H. (2024), Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability, Journal of Business and Economic Statistics, forthcoming.

2. Mei, X., Peng, B. and Zhu, H.* (2023), Variable Selection in Heterogeneous Panel Data Models with Cross-Sectional Dependence, Australian & New Zealand Journal of Statistics,  65(1), 14-34.

3.   Mei, X., Zhu, H.* and Chen, C. (2022), Mean-Variance Portfolio Selection with Estimation Risk, Applied Economics, forthcoming.

4.    Han, X., Peng, B., Yang, Y. and Zhu, H.* (2021), Shrinkage Estimation of the Varying-Coefficient Model with Continuous and Categorical Covariates, Economics Letters, 202(507):109819.

5.   Zhu, H., Sarafidis, V. and Silvapulle, M.J. (2020), A New Structural Break Test for Panels with Common Factors, The Econometrics Journal，23(1)，137-155.

6.   Gao, J., Xia, K. and Zhu, H. (2020), Heterogeneous Panel Data Models with Cross-Sectional Dependence, Journal of Econometrics，219(2), 329-353.

Working Papers:

1.  “Sieve Bootstrap for High-Dimensional Time Series: A Factor Model Approach”, with Daning Bi, Hanlin Shang and Yanrong Yang.

2. “Robust M-Estimation for High Dimensional Regression on Large Panel Data” with Jiti Gao and Yanrong Yang.

3. “Estimation of Panel Data Models with Cross-sectional Dependence”, with Jiti Gao, Vasilis Sarafidis, and Mervyn Silvapulle.