Yuan Liao : Citation Profile


Are you Yuan Liao?

Rutgers University-New Brunswick

6

H index

4

i10 index

206

Citations

RESEARCH PRODUCTION:

5

Articles

11

Papers

RESEARCH ACTIVITY:

   5 years (2011 - 2016). See details.
   Cites by year: 41
   Journals where Yuan Liao has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 8 (3.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli595
   Updated: 2019-06-16    RAS profile: 2017-01-03    
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Relations with other researchers


Works with:

Fan, Jianqing (6)

Chernozhukov, Victor (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 (26)

Hallin, Marc (18)

Fan, Jianqing (15)

LINTON, OLIVER (13)

Parolya, Nestor (11)

Bailey, Natalia (7)

Hafner, Christian (7)

Chen, Xiaohong (7)

Pesaran, M (6)

Lu, Lina (5)

Su, Liangjun (5)

Cites to:

Fan, Jianqing (28)

Reichlin, Lucrezia (22)

Chernozhukov, Victor (20)

Forni, Mario (17)

Lippi, Marco (17)

Hallin, Marc (16)

Bai, Jushan (15)

Ng, Serena (14)

Giannone, Domenico (10)

Connor, Gregory (9)

Molinari, Francesca (9)

Main data


Where Yuan Liao has published?


Journals with more than one article published# docs
Journal of Econometrics2

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

Recent works citing Yuan Liao (2018 and 2017)


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.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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

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

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

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

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

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2017Estimation of Graphical Models using the $L_{1,2}$ Norm. (2017). Chiong, Khai X ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1709.10038.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2018). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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2019State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

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2018Factor-Driven Two-Regime Regression. (2018). Lee, Sokbae (Simon) ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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

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

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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.

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2017Power in High-dimensional testing Problems. (2017). Kock, Anders ; Preinerstorfer, David. In: Working Papers ECARES. RePEc:eca:wpaper:2013/260442.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2017Inferences in panel data with interactive effects using large covariance matrices. (2017). Bai, Jushan ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:59-78.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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

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2017Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions. (2017). Parolya, Nestor ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2017_005.

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2017Discriminant analysis in small and large dimensions. (2017). Parolya, Nestor ; Ngailo, Edward ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2017_006.

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2018Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory. (2018). Bodnar, Taras ; Tyrcha, Joanna ; Podgorski, Krzysztof ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2018_001.

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2018Estimation in semiparametric quantile factor models. (2018). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: CeMMAP working papers. RePEc:ifs:cemmap:07/18.

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2017Uncertain identification. (2017). Giacomini, Raffaella ; Volpicella, Alessio ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:ifs:cemmap:18/17.

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2017An exact and robust conformal inference method for counterfactual and synthetic controls. (2017). Chernozhukov, Victor ; Wuthrich, Kaspar. In: CeMMAP working papers. RePEc:ifs:cemmap:62/17.

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2018Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices. (2018). Daniele, Maurizio ; Zagidullina, Aygul ; Pohlmeier, Winfried . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1807.

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2018Semiparametric Bayes Instrumental Variable Estimation with Many Weak Instruments. (2018). Kato, Ryo ; Hoshino, Takahiro. In: Discussion Paper Series. RePEc:kob:dpaper:dp2018-14.

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2018Factor-Driven Two-Regime Regression. (2018). Lee, Sokbae (Simon) ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-14.

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2017Estimation and inference in semiparametric quantile factor models. (2017). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8.

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2018Exponent of cross-sectional dependence for residuals. (2018). Pesaran, M ; Kapetanios, George ; Bailey, Natalia. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-13.

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2019An Integrated Panel Data Approach to Modelling Economic Growth. (2019). Zhang, BO ; Yang, Yanrong ; Pan, Guangming ; Gao, Jiti. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-9.

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2018Bootstrapping factor models with cross sectional dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montde:2018-07.

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2018Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montec:10-2018.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2018Pre-event Trends in the Panel Event-study Design. (2018). Shapiro, Jesse ; Hansen, Christian ; Freyaldenhoven, Simon. In: NBER Working Papers. RePEc:nbr:nberwo:24565.

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2017On the number of common factors with high-frequency data. (2017). Kong, Xin-Bing. In: Biometrika. RePEc:oup:biomet:v:104:y:2017:i:2:p:397-410..

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2017Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Lam, Clifford ; Hu, Charlie ; Feng, Phoenix. In: Biometrika. RePEc:oup:biomet:v:104:y:2017:i:2:p:481-488..

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2018Shrinking characteristics of precision matrix estimators. (2018). Molstad, Aaron J ; Rothman, Adam J. In: Biometrika. RePEc:oup:biomet:v:105:y:2018:i:3:p:563-574..

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

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2017Constrained principal components estimation of large approximate factor models. (2017). Ouysse, Rachida. In: Discussion Papers. RePEc:swe:wpaper:2017-12.

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2017Set Identification, Moment Restrictions and Inference. (2017). Magnac, Thierry ; Bontemps, Christian. In: TSE Working Papers. RePEc:tse:wpaper:31337.

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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Discussion Papers. RePEc:yor:yorken:18/14.

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2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly. (2018). Wolf, Michael ; Ledoit, Olivier ; de Nard, Gianluca. In: ECON - Working Papers. RePEc:zur:econwp:290.

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2019The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323.

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Works by Yuan Liao:


YearTitleTypeCited
2013Risks of Large Portfolios In: Papers.
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paper18
2015Risks of large portfolios.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 18
article
2013Risks of large portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
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article127
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