1. T. Cheng, C. Yan, Y. Yan, De facto time-varying indices-based benchmarks for mutual fund returns, Journal of Financial Research, 46(2), 469-496, 2023.

2.T. Cheng, S. Jiang, B. Zhao, Z. Jia, Complete Subset Averaging Methods in Corporate Bond Return Prediction, Finance Research Letters, 54, 103727, 2023.

3.T. Cheng, S. Xing, W. Yao, An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective, Pacific-Basin Finance Journal,74, 101820, 2022.

4.B. Zhao, T.Cheng*, Stock return prediction: stacking a variety of models, Journal of Empirical Finance, 67, 288-317, 2022.

5.T.Cheng, J. Liu, W.Yao, B. Zhao, The impact of COVID-19 pandemic on the volatility connectedness network of global stock market, Pacific-Basin Finance Journal, 71, 101678, 2022.

6.Y. Yan, T. Cheng*, Factor-Augmented Forecasting Regressions with Threshold Effects, Econometrics Journal, 25(1),134-154, 2022.

7.T. Cheng, C. Yan, Y. Yan, Improved inference for fund alphas using high-dimensional cross-sectional tests, Journal of Empirical Finance,61,57-81,2021.

8.T. Cheng, J. Gao, X. Zhang. Bayesian bandwidth selection in nonparametric time–varying coefficient models, Journal of Business and Economic Statistics, 37(1), 1-12, 2019.

9.C. Yan, T. Cheng*, In search of the optimal number of fund subgroups, Journal of Empirical Finance, 50, 78-92, 2019.

10.T. Cheng, J. Gao, X. Zhang. Nonparametric localized bandwidth selection in kernel density estimation, Econometric Reviews 38(7): 733-762, 2019.

11.T. Cheng. Functional coefficient time series models with trending regressors, Econometric Reviews 38(6): 636-659, 2019.

12.T. Cheng, J. Gao, Y. Yan, Regime switching panel data models with interactive fixed effects, Economics Letters, 177, 47-51, 2019.

13.T. Cheng, J. Gao, P.C.B. Phillips, A frequentist approach to Bayesian asymptotics, Journal of Econometrics 206(2): 359-378, 2018.

14.B. Cai, T. Cheng*, C. Yan, Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds, Journal of Empirical Finance 49, 81-106, 2018.

15.T. Cheng, J. Gao, Y. Yan, A new regime switching model with state-varying endogeneity, Journal of Management Science and Engineering, 3(4), 214-232, 2018.

16.T. Cheng, C. Yan. Evaluating the size of the bootstrap method for fund performance evaluation, Economics Letters 156: 36-41, 2017.

1.国家自然科学基金面上项目，大数据背景下变系数因子增广模型的理论与应用研究 （No. 72173068），2022.1-2025.12，主持

2.国家自然科学基金青年项目，基于贝叶斯方法的时变系数模型的理论和应用研究（NO. 71803091），2019.1-2021.12，主持，已结题

3.教育部人文社科青年基金项目，非线性预测回归模型：理论和应用（18YJC790015），2018.7-2021.7， 主持，已结题

4.南开大学文科发展基金项目，全球股市系统性金融风险测度及其溢出效应研究， 2022.5-2024.5，主持

南开大学硕士优秀毕业论文指导教师（2019年度）

南开大学本科优秀毕业论文指导教师（2017年度）