Research

Work in Progress: 14 Himalaya Peaks

Mimicking the epic expedition of summitting the 14 Himalayan peaks, I plan to write 14 research papers, advancing and ultimately submitting them through the following stages:

BC (Base Camp) → ABC (Advanced BC) → Camp 1 → Camp 2 → Camp 3 → Camp 4 (Summit Camp) → 8K (Death Zone) → Summit

It took Reinhold Messner about 16 years to summit all 14 peaks, meaning my submitting project could theoretically take as long as 14 years. With two drafts already near completion, it will not stretch out to 14 years, but rather around 12 (=14-2) years.


  • 1. Everest (8848m):
         P-Q Separation, Macro Variable, and Unspanned Macro Risk (Camp 4)
  • 2. K2 (8611m):
         Kalman Filter and Joint Estimation of Term Structure Models (Camp 3)
  • 3. Kanchenjunga (8586m):
         Hansen–Jagannathan Bound, Epstein–Zin Preferences, and Factor-VAR (Camp 2)
  • 4. Lhotse (8516m):
         A Fast Estimation Method of Dynamic Term Structure Models (Camp 4)
  • 5. Makalu (8463m):
         A New Macro-Finance Term Structure Model and Its Fast Estimation (Camp 4)
  • 6. Cho Oyu (8201m):
         Risk Premium Accounting and The Fed Reports on Term Premia (Camp 3)
  • 7. Dhaulagiri (8167m):
         Duffee’s Economically Far-Fetched and Remarkable Coincidence (Camp 2)
  • 8. Manaslu (8163m):
         Cochrane Critique on Taylor Rule and DSGE (Camp 1)
  • 9. Nanga Parbat (8125m):
         Structural VAR, Price Puzzle, and IRFs (Camp 1)
  • 10. Annapurna (8091m):
         Blanchard-Kahn Condition, SDF, and DSGE Model (ABC)
  • 11. Gasherbrum I (8068m):
         Fama-French 5-factor Model and Small-Cap Stocks (BC)
  • 12. Broad Peak (8047m):
         The Moon and the Sixpence: Yield Curve Predictability (BC)
  • 13. Gasherbrum II (8035m):
         A New Estimation Method of Regime Switching State-Space Model (Camp 1)
  • 14 Shishapangma (8012m):
         A New Time-Varying Structural Maceoeconomic Model (BC)


Working paper


Publication (SSCI)



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