Yuan Liao : Citation Profile

Rutgers University-New Brunswick

9

H index

9

i10 index

650

Citations

RESEARCH PRODUCTION:

7

Articles

17

Papers

RESEARCH ACTIVITY:

   8 years (2011 - 2019). See details.
   Cites by year: 81
   Journals where Yuan Liao has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 14 (2.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli595
   Updated: 2025-03-22    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yuan Liao.

Is cited by:

LINTON, OLIVER (49)

Barigozzi, Matteo (48)

Fan, Jianqing (35)

Hallin, Marc (30)

GAO, Jiti (16)

Parolya, Nestor (14)

Kim, Donggyu (13)

Li, Degui (12)

Luciani, Matteo (12)

Bai, Jushan (11)

Su, Liangjun (10)

Cites to:

Reichlin, Lucrezia (53)

Fan, Jianqing (38)

Lippi, Marco (31)

Forni, Mario (31)

Giannone, Domenico (29)

Hallin, Marc (28)

Bai, Jushan (26)

Ng, Serena (22)

Chernozhukov, Victor (20)

Connor, Gregory (18)

LINTON, OLIVER (16)

Main data

Production by document typearticlepaper20112012201320142015201620172018201902.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2011201220132014201520162017201820190102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2011201220132014201520162017201820190200400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 9Most cited documents12345678910110200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Yuan Liao has published?

Journals with more than one article published# docs
Journal of Econometrics3

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany7
Papers / arXiv.org6
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Yuan Liao (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611.

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2024CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

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2024CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects. (2022). Linton, Oliver ; Walsh, Christopher ; Vogt, Michael. In: Papers. RePEc:arx:papers:2206.12152.

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2024Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

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2025High-Dimensional Canonical Correlation Analysis. (2023). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Inference for Low-rank Models without Estimating the Rank. (2023). Kwon, Hyukjun ; Choi, Jungjun ; Liao, Yuan. In: Papers. RePEc:arx:papers:2311.16440.

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2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data. (2024). Zhang, Haoxuan ; Linton, Oliver. In: Papers. RePEc:arx:papers:2403.06246.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2025Recovering latent linkage structures and spillover effects with structural breaks in panel data models. (2025). Okui, Ryo ; Wang, Wendun ; Sun, Yutao. In: Papers. RePEc:arx:papers:2501.09517.

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2025Growing the Efficient Frontier on Panel Trees. (2025). He, Jingyu ; Feng, Guanhao ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2024.

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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). Walsh, C ; Vogt, M ; Raucker, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2467.

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2024.

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2024Dynamic Sparse Restricted Perceptions Equilibria. (2024). Slobodyan, Sergey ; Audzei, Volha. In: CERGE-EI Working Papers. RePEc:cer:papers:wp792.

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2024.

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2024Rank-based max-sum tests for mutual independence of high-dimensional random vectors. (2024). Feng, Long ; Liu, Binghui ; Wang, Hongfei ; Ma, Yanyuan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002944.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

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2024Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

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2024Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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2024Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (2024). Xue, Lingzhou ; Yao, Jiawei ; Yu, Xiufan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001525.

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2024On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024GMM estimation for high-dimensional panel data models. (2024). LINTON, OLIVER ; Dong, Chaohua ; Cheng, Tingting ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001982.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Pragmatic attitude to large-scale Markowitz’s portfolio optimization and factor-augmented derating. (2024). Zheng, Shurong ; Wong, Wing-Keung ; Shi, Mengjie ; Hui, Yongchang. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400560x.

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2024An assessment of the marginal predictive content of economic uncertainty indexes and business conditions predictors. (2024). Liu, Yang ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1391-1409.

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2024Large factor model estimation by nuclear norm plus ?1 norm penalization. (2024). Montanari, Angela ; Farne, Matteo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x23000908.

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2024Cross projection test for mean vectors via multiple random splits in high dimensions. (2024). Cui, Hengjian ; Wu, Jiujing ; Wang, Guanpeng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:204:y:2024:i:c:s0047259x24000654.

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2024High-dimensional process monitoring under time-varying operating conditions via covariate-regulated principal component analysis. (2024). Pan, Ershun ; Ye, Zhi-Sheng ; Chen, Zhen ; Wei, Yujie. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:252:y:2024:i:c:s095183202400512x.

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2025FinTech and economic readiness: Institutional navigation amid climate risks. (2025). Arshed, Noman ; Zhang, Beifan ; Naveed, Shabana ; Bakkar, Yassine ; Ul-Durar, Shajara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003362.

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2024A new approach for ultrahigh-dimensional covariance matrix estimation. (2024). Ma, Xiaoyan ; Liang, Wanfeng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:204:y:2024:i:c:s0167715223001530.

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2024.

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2024.

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2024Perceived shocks and impulse responses. (2024). Smetanina, Katja ; Lu, Jason ; Giacomini, Raffaella. In: IFS Working Papers. RePEc:ifs:ifsewp:cwp21/24.

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2024Effects of financial inclusion on financial stability: evidence from ssa countries. (2024). Damane, Moeti ; Ho, Sin-Yu. In: MPRA Paper. RePEc:pra:mprapa:120238.

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2024Deep learning for multivariate volatility forecasting in high-dimensional financial time series.. (2024). Matsuda, Yasumasa ; Iwafuchi, Rei. In: DSSR Discussion Papers. RePEc:toh:dssraa:141.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202418.

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2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202419.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202420.

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2024Dynamic Realized Minimum Variance Portfolio Models. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202421.

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2025Optimal Versus Naive Diversification in Commodity Futures Markets. (2025). Schuhmacher, Frank ; Auer, Benjamin R ; Heide, Max. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22.

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Works by Yuan Liao:

Year  ↓Title  ↓Type  ↓Cited  ↓
2013Semi-parametric Bayesian Partially Identified Models based on Support Function In: Papers.
[Full Text][Citation analysis]		paper7
2012Semi-parametric Bayesian Partially Identified Models based on Support Function.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013Risks of Large Portfolios In: Papers.
[Full Text][Citation analysis]		paper36
2015Risks of large portfolios.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2013Risks of large portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2015A lava attack on the recovery of sums of dense and sparse signals In: Papers.
[Full Text][Citation analysis]		paper2
2015A lava attack on the recovery of sums of dense and sparse signals.(2015) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2015A lava attack on the recovery of sums of dense and sparse signals.(2015) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2016Oracle Estimation of a Change Point in High Dimensional Quantile Regression In: Papers.
[Full Text][Citation analysis]		paper11
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers.
[Full Text][Citation analysis]		paper9
2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers.
[Full Text][Citation analysis]		paper2
2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article358
2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 358		paper
2019THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS In: Econometric Theory.
[Full Text][Citation analysis]		article16
2016The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2016Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2017Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2018Factor-Driven Two-Regime Regression In: Department of Economics Working Papers.
[Full Text][Citation analysis]		paper8
2012Endogeneity in ultrahigh dimension In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2011Posterior consistency of nonparametric conditional moment restricted models In: MPRA Paper.
[Full Text][Citation analysis]		paper18
2012Efficient Estimation of Approximate Factor Models In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2016Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference? In: Departmental Working Papers.
[Full Text][Citation analysis]		paper4
2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
[Full Text][Citation analysis]		article46
2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
[Full Text][Citation analysis]		article67

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