Yuan Liao : Citation Profile


Are you Yuan Liao?

Rutgers University-New Brunswick

8

H index

5

i10 index

257

Citations

RESEARCH PRODUCTION:

7

Articles

17

Papers

RESEARCH ACTIVITY:

   7 years (2011 - 2018). See details.
   Cites by year: 36
   Journals where Yuan Liao has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 13 (4.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli595
   Updated: 2020-07-04    RAS profile: 2019-09-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Fan, Jianqing (7)

Chernozhukov, Victor (3)

Bai, Jushan (2)

Shin, Youngki (2)

SEO, MYUNG HWAN (2)

Lee, Sokbae (Simon) (2)

Simoni, Anna (2)

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

Is cited by:

Barigozzi, Matteo (31)

Hallin, Marc (22)

Fan, Jianqing (18)

LINTON, OLIVER (13)

Parolya, Nestor (11)

GAO, Jiti (8)

Bailey, Natalia (8)

Chen, Xiaohong (7)

Pesaran, M (7)

Hafner, Christian (7)

Luciani, Matteo (7)

Cites to:

Reichlin, Lucrezia (42)

Fan, Jianqing (35)

Forni, Mario (30)

Lippi, Marco (30)

Hallin, Marc (27)

Bai, Jushan (21)

Giannone, Domenico (19)

Connor, Gregory (18)

Ng, Serena (17)

Chernozhukov, Victor (17)

LINTON, OLIVER (16)

Main data


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 (2019 and 2018)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

Full description at Econpapers || Download paper

2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

Full description at Econpapers || Download paper

2018Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

Full description at Econpapers || Download paper

2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

Full description at Econpapers || Download paper

2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

Full description at Econpapers || Download paper

2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

Full description at Econpapers || Download paper

2019An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

Full description at Econpapers || Download paper

2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

Full description at Econpapers || Download paper

2019Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

Full description at Econpapers || Download paper

2018Estimation of High-Dimensional Seemingly Unrelated Regression Models. (2018). Moon, Hyungsik Roger ; Chiong, Khai X ; Tan, Lidan. In: Papers. RePEc:arx:papers:1811.05567.

Full description at Econpapers || Download paper

2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2018How to avoid the zero-power trap in testing for correlation. (2018). Preinerstorfer, David. In: Papers. RePEc:arx:papers:1812.10752.

Full description at Econpapers || Download paper

2019Estimation of Cross-Sectional Dependence in Large Panels. (2019). GAO, Jiti ; Zhang, BO ; Yang, Yanrong ; Pan, Guangming. In: Papers. RePEc:arx:papers:1904.06843.

Full description at Econpapers || Download paper

2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

Full description at Econpapers || Download paper

2019Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823.

Full description at Econpapers || Download paper

2020Desperate times call for desperate measures: government spending multipliers in hard times. (2019). Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae. In: Papers. RePEc:arx:papers:1909.09824.

Full description at Econpapers || Download paper

2019Quasi 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.

Full description at Econpapers || Download paper

2019Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations. (2019). Bai, Jushan ; Liao, Yuan ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:1910.09004.

Full description at Econpapers || Download paper

2019Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models. (2019). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.09841.

Full description at Econpapers || Download paper

2019Sparsity and Stability for Minimum-Variance Portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.11840.

Full description at Econpapers || Download paper

2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

Full description at Econpapers || Download paper

2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

Full description at Econpapers || Download paper

2019Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

Full description at Econpapers || Download paper

2020Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

Full description at Econpapers || Download paper

2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

Full description at Econpapers || Download paper

2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

Full description at Econpapers || Download paper

2017Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions. (2017). Fan, Jianqing ; Wang, Yuyan ; Li, Quefeng. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:247-265.

Full description at Econpapers || Download paper

2017On estimation of the noise variance in high dimensional probabilistic principal component analysis. (2017). Passemier, Damien ; Yao, Jianfeng ; Li, Zhaoyuan. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:51-67.

Full description at Econpapers || Download paper

2017High dimensional correlation matrices: the central limit theorem and its applications. (2017). GAO, Jiti ; Yang, Yanrong ; Pan, Guangming ; Han, Xiao. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:677-693.

Full description at Econpapers || Download paper

2017Estimation of the false discovery proportion with unknown dependence. (2017). Fan, Jianqing ; Han, XU. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1143-1164.

Full description at Econpapers || Download paper

2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

Full description at Econpapers || Download paper

2017When and Why are Principal Component Scores a Good Tool for Visualizing High-dimensional Data?. (2017). Hellton, Kristoffer H ; Thoresen, Magne. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:3:p:581-597.

Full description at Econpapers || Download paper

2017Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study. (2017). Elena, Colicino ; Haixiang, Zhang ; Pantel, Vokonas ; Joel, Schwartz ; Grace, Yoon ; Lei, Liu ; Lifang, Hou ; Wei, Zhang ; Brian, Joyce ; Tao, Gao ; Zhou, Zhang ; Andrea, Baccarelli ; Yinan, Zheng . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:16:y:2017:i:3:p:159-171:n:4.

Full description at Econpapers || Download 2018

A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876.

Full description at Econpapers || Download paper

2018Exponent of Cross-sectional Dependence for Residuals. (2018). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7223.

Full description at Econpapers || Download paper

2018Estimating Latent Asset-Pricing Factors. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12926.

Full description at Econpapers || Download paper

2017Sparse covariance matrix estimation in high-dimensional deconvolution. (2017). Tsybakov, Alexandre ; Trabs, Mathias ; Belomestny, Denis. In: Working Papers. RePEc:crs:wpaper:2017-25.

Full description at Econpapers || Download paper

2019A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects. (2019). Yamagata, Takashi ; Nagata, Shuichi ; Hayakawa, Kazuhiko ; Cui, Guowei. In: ISER Discussion Paper. RePEc:dpr:wpaper:1037r.

Full description at Econpapers || Download paper

2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

Full description at Econpapers || Download paper

2020Estimation of Weak Factor Models. (2020). Uematsu, Yoshimasa ; Yamagata, Takashi. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053r.

Full description at Econpapers || Download paper

2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

Full description at Econpapers || Download paper

2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

Full description at Econpapers || Download paper

2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

Full description at Econpapers || Download paper

2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

Full description at Econpapers || Download paper

2018Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

Full description at Econpapers || Download paper

2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

Full description at Econpapers || Download paper

2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

Full description at Econpapers || Download paper

2019The communication and European Regional economic growth: The interactive fixed effects approach. (2019). Liu, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:299-311.

Full description at Econpapers || Download paper

2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

Full description at Econpapers || Download paper

2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

Full description at Econpapers || Download paper

2017Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252.

Full description at Econpapers || Download paper

2017Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Yao, Jiawei ; Xue, Lingzhou. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

Full description at Econpapers || Download paper

2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

Full description at Econpapers || Download paper

2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

Full description at Econpapers || Download paper

2018Nonparametric fixed effects model for panel data with locally stationary regressors. (2018). Pei, Youquan ; You, Jinhong ; Huang, Tao. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:286-305.

Full description at Econpapers || Download paper

2018Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso. (2018). Caner, Mehmet ; Kock, Anders Bredahl. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:143-168.

Full description at Econpapers || Download paper

2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

Full description at Econpapers || Download paper

2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

Full description at Econpapers || Download paper

2018Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:301-319.

Full description at Econpapers || Download paper

2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:187-225.

Full description at Econpapers || Download paper

2018A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

Full description at Econpapers || Download paper

2018Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Lu, Lina ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:574-612.

Full description at Econpapers || Download paper

2018Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

Full description at Econpapers || Download paper

2018Specification tests based on MCMC output. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:237-260.

Full description at Econpapers || Download paper

2019Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

Full description at Econpapers || Download paper

2019Factor models for matrix-valued high-dimensional time series. (2019). Wang, Dong ; Chen, Rong ; Liu, Xialu . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:231-248.

Full description at Econpapers || Download paper

2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

Full description at Econpapers || Download paper

2019Robust covariance estimation for approximate factor models. (2019). Fan, Jianqing ; Zhong, Yiqiao ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:5-22.

Full description at Econpapers || Download paper

2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2019A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534.

Full description at Econpapers || Download paper

2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

Full description at Econpapers || Download paper

2019A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

Full description at Econpapers || Download paper

2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

Full description at Econpapers || Download paper

2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. (2019). Li, Degui ; Chen, Jia ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:155-176.

Full description at Econpapers || Download paper

2019Rank regularized estimation of approximate factor models. (2019). Bai, Jushan ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:78-96.

Full description at Econpapers || Download paper

2019Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice. (2019). Su, Liangjun ; Peng, Bin ; Feng, Guohua ; Yang, Thomas Tao. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:607-622.

Full description at Econpapers || Download paper

2020On rank estimators in increasing dimensions. (2020). Zhou, Xiao-Hua ; Li, Wei ; Han, Fang ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:379-412.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2020Factor-adjusted regularized model selection. (2020). Wang, Kaizheng ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:71-85.

Full description at Econpapers || Download paper

2020Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Lu, Lina ; Cui, Guowei ; Li, Kunpeng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353.

Full description at Econpapers || Download paper

2019Joint estimation of multiple network Granger causal models. (2019). Michailidis, G ; Skripnikov, A. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:120-133.

Full description at Econpapers || Download paper

2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

Full description at Econpapers || Download paper

2018Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430.

Full description at Econpapers || Download paper

2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

Full description at Econpapers || Download paper

2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

Full description at Econpapers || Download paper

2019Projection tests for high-dimensional spiked covariance matrices. (2019). Guo, Wenwen ; Cui, Hengjian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:21-32.

Full description at Econpapers || Download paper

2019Optimal shrinkage estimator for high-dimensional mean vector. (2019). Parolya, Nestor ; Okhrin, Ostap ; Bodnar, Taras. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:63-79.

Full description at Econpapers || Download paper

2019Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage. (2019). Park, Junyong ; Roy, Anindya ; Lim, Johan ; Choi, Young-Geun . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:234-249.

Full description at Econpapers || Download paper

2020A large covariance matrix estimator under intermediate spikiness regimes. (2020). Farne, Matteo ; Montanari, Angela. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19301216.

Full description at Econpapers || Download paper

2019Large rank-based models with common noise. (2019). Sarantsev, Andrey ; Kolli, Praveen . In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:29-35.

Full description at Econpapers || Download paper

2017Generalized dynamic factor models and volatilities estimation and forecasting. (2017). Barigozzi, Matteo ; Hallin, Marc. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67455.

Full description at Econpapers || Download paper

2017A network analysis of the volatility of high-dimensionalfinancial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67456.

Full description at Econpapers || Download paper

2017Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Hu, Charlie ; Feng, Phoenix ; Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69812.

Full description at Econpapers || Download paper

2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88110.

Full description at Econpapers || Download paper

2018NOVELIST estimator of large correlation and covariance matrices and their inverses. (2018). Fryzlewicz, Piotr ; Huang, NA. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:89055.

Full description at Econpapers || Download paper

2018Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models. (2018). Lu, Lina ; Li, QI. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa18-2.

Full description at Econpapers || Download paper

2017Non-Stationary Dynamic Factor Models for Large Datasets. (2017). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-24.

Full description at Econpapers || Download paper

2017Common Factors, Trends, and Cycles in Large Datasets. (2017). Luciani, Matteo ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-111.

Full description at Econpapers || Download paper

2019Dantzig Type Optimization Method with Applications to Portfolio Selection. (2019). Lee, Sung Chul ; Park, Seyoung ; Kim, Geonwoo. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3216-:d:238590.

Full description at Econpapers || Download paper

2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

Full description at Econpapers || Download paper

2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Yuan Liao:


YearTitleTypeCited
2013Semi-parametric Bayesian Partially Identified Models based on Support Function In: Papers.
[Full Text][Citation analysis]
paper4
2012Semi-parametric Bayesian Partially Identified Models based on Support Function.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2013Risks of Large Portfolios In: Papers.
[Full Text][Citation analysis]
paper20
2013Risks of large portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2015Risks of large portfolios.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2015A lava attack on the recovery of sums of dense and sparse signals In: Papers.
[Full Text][Citation analysis]
paper0
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 another version. Agregated cites: 0
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 another version. Agregated cites: 0
paper
2016Oracle Estimation of a Change Point in High Dimensional Quantile Regression In: Papers.
[Full Text][Citation analysis]
paper2
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers.
[Full Text][Citation analysis]
paper0
2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers.
[Full Text][Citation analysis]
paper0
2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article153
2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 153
paper
2019THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article4
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 another version. Agregated cites: 4
paper
2016Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
2017Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2018Factor-Driven Two-Regime Regression In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper3
2012Endogeneity in ultrahigh dimension In: MPRA Paper.
[Full Text][Citation analysis]
paper9
2011Posterior consistency of nonparametric conditional moment restricted models In: MPRA Paper.
[Full Text][Citation analysis]
paper12
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]
paper1
2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
[Full Text][Citation analysis]
article13
2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
[Full Text][Citation analysis]
article13

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team