Wen Su

*^{Alphabetical Order       #Corresponding Author}

Publications

Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?* (with S. Ge, S. Li, O. Linton, W. Liu) Journal of Econometrics, 2026.

Heterogeneous Spatial Factors Pricing Model in the Chinese Stock Market.* (with S. Ge, S. Li, X. Li) Chinese Journal of Econometrics, 2026. 

Distance to Default based on the CEV-KMV Model.^# Journal of Risk, 2022.

Working Papers

_Preprints

Specification-LASSO and a Flexible Characteristics-Based Asset Pricing Model.* (with C. Dong, S. Ge, S. Li) Journal of Business & Economic Statistics, Revise & Resubmit.

Heterogeneous Spatial Regression Model with Time-Varying Spatial Matrices and Applications in Asset Pricing.^#* (with S. Ge, S. Li) Journal of Business & Economic Statistics, Under Review.

Introducing SPEC: A Semi-Parametric Equity-Credit Model for CDS Spread Estimation.^#* (with M. Arnsdorf, B. Horvath, S. Schismenos) Preprint

Text as Priors.* (with S. Ge, S. Li, O. Linton) Preprint

_{Upon Request}

Signature Based Structural Models: Properties and Related Applications in Credit Markets.^#* (with M. Arnsdorf, B. Horvath, S. Schismenos)