Yuan Liao : Citation Profile


Are you Yuan Liao?

Rutgers University-New Brunswick

8

H index

6

i10 index

364

Citations

RESEARCH PRODUCTION:

7

Articles

17

Papers

RESEARCH ACTIVITY:

   8 years (2011 - 2019). See details.
   Cites by year: 45
   Journals where Yuan Liao has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 13 (3.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli595
   Updated: 2021-10-09    RAS profile: 2019-09-07    
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Relations with other researchers


Works with:

SEO, MYUNG HWAN (2)

Fan, Jianqing (2)

Lee, Sokbae (Simon) (2)

Shin, Youngki (2)

Bai, Jushan (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 (38)

Fan, Jianqing (28)

Hallin, Marc (25)

LINTON, OLIVER (19)

Parolya, Nestor (12)

GAO, Jiti (10)

Su, Liangjun (10)

Bai, Jushan (9)

Bailey, Natalia (8)

Hafner, Christian (8)

Pesaran, M (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)

Chernozhukov, Victor (17)

Ng, Serena (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 (2021 and 2020)


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

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2021An 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.

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2021A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708.

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

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2020Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2021Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823.

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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.

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2020Quasi 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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2020Feasible 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.

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

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2021Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2021Sharpe 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.

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

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2021Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data. (2020). Parker, Thomas ; Lamarche, Carlos. In: Papers. RePEc:arx:papers:2004.05127.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Bootstrapping $\ell_p$-Statistics in High Dimensions. (2020). Fan, Jianqing ; Giessing, Alexander. In: Papers. RePEc:arx:papers:2006.13099.

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2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

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2020An Upper Bound for Functions of Estimators in High Dimensions. (2020). Han, XU ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2008.02636.

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2020A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

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2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2106.02131.

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2021Superconsistency of tests in high dimensions. (2021). Preinerstorfer, David ; Kock, Anders Bredahl. In: Papers. RePEc:arx:papers:2106.03700.

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2021Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation. (2021). Bian, Jiang ; Liu, Weiqing ; Zhou, Dong ; Lin, Hengxu. In: Papers. RePEc:arx:papers:2107.05201.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:2108.11921.

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2021Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version). (2021). Kercheval, Alec ; Gurdogan, Hubeyb. In: Papers. RePEc:arx:papers:2109.00148.

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2021High-dimensional Portfolio Optimization using Joint Shrinkage. (2021). Banerjee, Sayantan ; Burman, Anik. In: Papers. RePEc:arx:papers:2109.13633.

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2021Towards Principled Causal Effect Estimation by Deep Identifiable Models. (2021). Fukumizu, Kenji ; Wu, Pengzhou. In: Papers. RePEc:arx:papers:2109.15062.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020Change‐point detection in a linear model by adaptive fused quantile method. (2020). MacIak, Matu ; Ciuperca, Gabriela. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:2:p:425-463.

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2020Estimation of the Kronecker Covariance Model by Quadratic Form. (2020). Tang, H ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2050.

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2020A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060.

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2021Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150.

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2020Out of sample predictability in predictive regressions with many predictor candidates. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31554.

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

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

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2021Inferential Theory for Generalized Dynamic Factor Models. (2021). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/331192.

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2021An efficient numerical method for condition number constrained covariance matrix approximation. (2021). Wang, Shaoxin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:397:y:2021:i:c:s009630032030878x.

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2020High-dimensional two-sample mean vectors test and support recovery with factor adjustment. (2020). Zhang, Mingjuan ; He, Yong ; Zhou, Wang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320300955.

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2021Rank-based tests of cross-sectional dependence in panel data models. (2021). Zhao, Ping ; Feng, Long ; Liu, Binghui ; Ding, Yanling. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301614.

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2021Promote sign consistency in the joint estimation of precision matrices. (2021). Ma, Shuangge ; Zhang, Qingzhao ; Huang, Yuan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s016794732100044x.

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2020Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s016517652030286x.

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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.

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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.

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

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

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2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

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2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

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2020Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:476-495.

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2020Panel threshold models with interactive fixed effects. (2020). Su, Liangjun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:137-170.

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2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Robust and optimal estimation for partially linear instrumental variables models with partial identification. (2021). Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:368-380.

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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2021Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323.

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2021High dimensional minimum variance portfolio estimation under statistical factor models. (2021). Zheng, Xinghua ; Li, Yingying ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:502-515.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2021Max-linear regression models with regularization. (2021). Chan, Vincent ; Zhang, Zhengjun ; Xu, Yuqing ; Cui, Qiurong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:579-600.

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2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

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2021Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2021On income and price elasticities for energy demand: A panel data study. (2021). Smyth, Russell ; Peng, Bin ; Gao, Jiti. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000736.

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2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Liu, Jia ; Zhao, Huimin ; Qian, Long ; Ni, Xuanming. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

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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.

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2020Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution. (2020). Kubokawa, Tatsuya ; Yuasa, Ryota. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x1930569x.

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2020Estimating sparse networks with hubs. (2020). Stephens, David A ; Khalili, Abbas ; McGillivray, Annaliza. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:179:y:2020:i:c:s0047259x20302360.

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2021Non-asymptotic error controlled sparse high dimensional precision matrix estimation. (2021). Kashlak, Adam B. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302712.

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2021Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix. (2021). Pan, Jianxin ; Zhou, Jie ; Yang, Yihe. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000178.

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2021Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises. (2021). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:480-493.

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2020Conditional formulation for the calibration of multi-level random fields with incomplete data. (2020). Gardoni, Paolo ; Xu, Hao. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:204:y:2020:i:c:s0951832020306220.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2021Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations. (2021). Xia, Ningning ; Wang, Moming. In: Statistics & Probability Letters. RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220302996.

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2020High-dimensional covariance matrix estimation. (2020). Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101667.

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2021Single and multiple-group penalized factor analysis: a trust-region algorithm approach with integrated automatic multiple tuning parameter selection. (2021). Moustaki, Irini ; Marra, Giampiero ; Geminiani, Elena. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108873.

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2021Dynamic Factor Copula Models with Estimated Cluster Assignments. (2021). Patton, Andrew ; Oh, Dong Hwan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-29.

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2020Desperate times call for desperate measures: government spending multipliers in hard times. (2020). Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae. In: CeMMAP working papers. RePEc:ifs:cemmap:29/20.

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2020Uncertain Identification. (2020). Volpicella, Alessio ; Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:33/20.

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2021A Dynamic Mean-Variance Analysis for Log Returns. (2021). Jin, Hanqing ; Dai, Min ; Xu, Yuhong ; Kou, Steven. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1093-1108.

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2021Nonsparse Learning with Latent Variables. (2021). Jinchi Lv, ; Zheng, Zemin ; Lin, Wei. In: Operations Research. RePEc:inm:oropre:v:69:y:2021:i:1:p:346-359.

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2021Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model. (2021). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202106.

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2020An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6.

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2021Cross-validated covariance estimators for high-dimensional minimum-variance portfolios. (2021). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-020-00376-y.

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2020Semiparametric Bayesian Instrumental Variables Estimation for Nonignorable Missing Instruments. (2020). Hoshino, Takahiro ; Kato, Ryo. In: Discussion Paper Series. RePEc:kob:dpaper:dp2020-06.

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2020Inference in Threshold Models. (2020). Wang, Yulong ; Lee, Yoonseok. In: Center for Policy Research Working Papers. RePEc:max:cprwps:223.

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2020Most Powerful Test against High Dimensional Free Alternatives. (2020). GAO, Jiti ; Jaidee, Sombut ; He, YI. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-13.

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2020Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2020). Liu, Fei ; Gao, Jiti ; Peng, Bin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-44.

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2021Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model. (2021). Yang, Yanrong ; Silvapulle, Param ; Peng, Bin ; Mao, Yufeng. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-7.

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2020A fast iterative algorithm for high-dimensional differential network. (2020). Wang, Cheng ; Yu, Zhangsheng ; Tang, Zhou. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:1:d:10.1007_s00180-019-00915-w.

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2021Feasible generalized least squares for panel data with cross-sectional and serial correlations. (2021). Choi, Sunghoon ; Bai, Jushan ; Liao, Yuan. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01977-2.

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2021Single- and Multiple-Group Penalized Factor Analysis: A Trust-Region Algorithm Approach with Integrated Automatic Multiple Tuning Parameter Selection. (2021). Moustaki, Irini ; Marra, Giampiero ; Geminiani, Elena. In: Psychometrika. RePEc:spr:psycho:v:86:y:2021:i:1:d:10.1007_s11336-021-09751-8.

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2021A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix. (2021). Xu, Xingzhong ; Wang, Rui. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01157-5.

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2021Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator. (2021). Cho, Jin Seo ; Huo, Lijuan. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:2:d:10.1007_s11749-020-00719-x.

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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.
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2012Semi-parametric Bayesian Partially Identified Models based on Support Function.(2012) In: MPRA Paper.
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2013Risks of Large Portfolios In: Papers.
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2015Risks of large portfolios.(2015) In: Journal of Econometrics.
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2013Risks of large portfolios.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 24
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2015A lava attack on the recovery of sums of dense and sparse signals In: Papers.
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2015A lava attack on the recovery of sums of dense and sparse signals.(2015) In: CeMMAP working papers.
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2015A lava attack on the recovery of sums of dense and sparse signals.(2015) In: CeMMAP working papers.
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2016Oracle Estimation of a Change Point in High Dimensional Quantile Regression In: Papers.
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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers.
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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers.
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2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
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2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
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2019THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS In: Econometric Theory.
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article4
2016The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications.(2016) In: MPRA Paper.
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2016Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics.
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2017Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics.
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2018Factor-Driven Two-Regime Regression In: Department of Economics Working Papers.
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2012Endogeneity in ultrahigh dimension In: MPRA Paper.
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paper8
2011Posterior consistency of nonparametric conditional moment restricted models In: MPRA Paper.
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paper14
2012Efficient Estimation of Approximate Factor Models In: MPRA Paper.
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paper8
2016Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference? In: Departmental Working Papers.
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paper2
2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
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article25
2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
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