Wen Su

*^{Alphabetical Order       #Corresponding Author}

Publications

Shuyi Ge, Shaoran Li, Oliver Linton, Weiguang Liu, Wen Su*. Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information? Journal of Econometrics, Accepted, 2026.

Shuyi Ge, Shaoran Li, Xinping Li, Wen Su*. Heterogeneous Spatial Factors Pricing Model in the Chinese Stock Market. Chinese Journal of Econometrics, 2026. 

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

Working Papers

Chaohua Dong, Shuyi Ge, Shaoran Li, Wen Su*. Specification-LASSO and a Flexible Characteristics-Based Asset Pricing Model. Journal of Business & Economic Statistics, Revise & Resubmit.
Matthias Arnsdorf, Blanka Horvath, Spyros Schismenos, Wen Su^#*. Introducing SPEC: A Semi-Parametric Equity-Credit Model for CDS Spread Estimation. Available on SSRN

Matthias Arnsdorf, Blanka Horvath, Spyros Schismenos, Wen Su^#*. Signature Based Structural Models: Properties and Related Applications in Credit Markets.