Li, Jia, and Dacheng Xiu. Generalized Method of Integrated Moments with High Frequency Data. Econometrica, 2016, 84 (4): 1613-1633.

Yacine, Aït-Sahalia, and Dacheng Xiu. Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? . Journal of Econometrics, 2016, 194 (2): 205-219.

许多奇. “互联网金融”定义刍议. 文汇报 理论版·文汇学人第3版, 2016.

Sibley, Steve, Yanchu Wang, Yuhang Xing,and Xiaoyan Zhang. The information content of the sentiment index. Journal of Banking & Finance, 2016, 62 (1): 164-179.

Drapeau, Samuel, and Christoph Mainberger. Stability and Markov Property of Forward Backward Minimal Supersolutions. Electronic Journal of Probability, 2016, 21 (41): 1-15.

Li, Kai, and Wei Wang. Debtor-in-Possession Financing, Loan-to-Loan, and Loan-to-Own. Journal of Corporate Finance, 2016, 39: 121-138.

Foerster, Andrew, Juan Rubio-Ramirez, Daniel Waggoner, and Tao Zha. Perturbation Methods for Markov-Switching DSGE Models. Quantitative Economics, 2016, 2014 (16): 1-90.

Wang, Tan, and T. S. Wirjanto. Risk Aversion, Uncertainty, Unemployment Insurance Benefit and Duration of "Wait" Unemployment. Annals of Economics and Finance, 2016, 17 (1): 1-34.

Cronqvist, Henrik, Alessandro Previtero, Stephan Siegel and Roderick E. White. The fetal origins hypothesis in finance: Prenatal environment, the gender gap, and investor. The Review of Financial Studies, 2016, 29 (3): 739-786.

Song, Zhaogang, and Dacheng Xiu. A Tale of Two Option Markets: Pricing Kernels and Volatility Risk. Journal of Econometrics, 2016, 190 (1): 176-196.