Yuan Liao : Citation Profile

Are you Yuan Liao?

Rutgers University-New Brunswick

9

H index

8

i10 index

557

Citations

RESEARCH PRODUCTION:

7

Articles

17

Papers

RESEARCH ACTIVITY:

   8 years (2011 - 2019). See details.
   Cites by year: 69
   Journals where Yuan Liao has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 14 (2.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli595
   Updated: 2024-04-18    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:

Barigozzi, Matteo (45)

Fan, Jianqing (30)

Hallin, Marc (25)

LINTON, OLIVER (23)

GAO, Jiti (16)

Parolya, Nestor (13)

Luciani, Matteo (12)

Bai, Jushan (11)

Su, Liangjun (10)

Lee, Sokbae (Simon) (10)

Chen, Xiaohong (9)

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

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 (2024 and 2023)

YearTitle of citing document
2023Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2023Sparse Quantile Regression. (2020). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2006.11201.

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2023A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2023A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2023Matrix 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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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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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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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Co-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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2023Unified and robust Lagrange multiplier type tests for cross-sectional independence in large panel data models. (2023). Yao, Jianfeng ; Li, Zhaoyuan ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14387.

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

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Does 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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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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

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

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2023Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689.

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2023Asymptotic 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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2023Target PCA: Transfer Learning Large Dimensional Panel Data. (2023). Xiong, Ruoxuan ; Pelger, Markus ; Duan, Junting. In: Papers. RePEc:arx:papers:2308.15627.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023Inference 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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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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2023.

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2023.

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2023Prediction in functional regression with discretely observed and noisy covariates. (2023). Jammoul, Fatima ; Hormann, Siegfried. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001803.

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2023Block-diagonal precision matrix regularization for ultra-high dimensional data. (2023). Pan, Jianxin ; Dai, Hongsheng ; Yang, Yihe. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002109.

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2023Robust tests for scatter separability beyond Gaussianity. (2023). Lee, Sang Han ; Lim, Johan ; Park, Seongoh ; Kim, Seungkyu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002134.

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2023Change-point testing for parallel data sets with FDR control. (2023). Wang, Zhaojun ; Zou, Changliang ; Cui, Junfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000166.

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2023Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations. (2023). Qiu, Yue ; Zheng, Yuchen. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300161x.

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2023A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

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2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

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2023Shrinkage estimation of network spillovers with factor structured errors. (2023). Martellosio, Federico ; Higgins, Ayden. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:66-87.

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2023Most powerful test against a sequence of high dimensional local alternatives. (2023). GAO, Jiti ; Jaidee, Sombut ; He, YI. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:151-177.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Community network auto-regression for high-dimensional time series. (2023). Zhu, Xuening ; Fan, Jianqing ; Chen, Elynn Y. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1239-1256.

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2023Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding. (2023). Qiu, Yumou ; Guo, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1337-1354.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Joint inference based on Stein-type averaging estimators in the linear regression model. (2023). Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1542-1563.

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2023Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679.

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2023Wild bootstrap inference for penalized quantile regression for longitudinal data. (2023). Parker, Thomas ; Lamarche, Carlos. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1799-1826.

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2023Large volatility matrix analysis using global and national factor models. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933.

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2023Sparse quantile regression. (2023). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2195-2217.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Dynamic discrete choice models with incomplete data: Sharp identification. (2023). Sasaki, Yuya ; Hu, Yingyao ; Xin, YI ; Takahashi, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001550.

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2023Post-processed posteriors for sparse covariances. (2023). Lee, Jaeyong. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001914.

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2023A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:83-101.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Semiparametric estimation of the high-dimensional elliptical distribution. (2023). Okhrin, Ostap ; Liebscher, Eckhard. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001336.

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2023High-dimensional portfolio optimization based on tree-structured factor model. (2023). Zhu, Shushang ; Zhao, Huimin ; Zheng, Tiantian ; Ni, Xuanming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774.

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2023Matrix-variate data analysis by two-way factor model with replicated observations. (2023). Guo, Jianhua ; Huang, Wei ; Gao, Zhigen ; Li, Yan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:202:y:2023:i:c:s0167715223001281.

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2023.

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2023.

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2023A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity. (2023). Liu, Weidong ; Wang, Cheng ; Wu, Zeyu. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:4:d:10.1007_s10463-022-00856-0.

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2023Sparse precision matrix estimation with missing observations. (2023). Yang, Jin ; Zhang, Ning. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:3:d:10.1007_s00180-022-01265-w.

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2023Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

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2023Regression Trees and Ensemble for Multivariate Outcomes. (2023). Banerjee, Mousumi ; Gaies, Michael ; Callaghan, Brian C ; Reynolds, Evan L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-023-00301-z.

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2023.

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Works by Yuan Liao:

YearTitleTypeCited
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]		paper29
2015Risks of large portfolios.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2013Risks of large portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		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]		paper9
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers.
[Full Text][Citation analysis]		paper6
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]		article310
2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 310		paper
2019THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS In: Econometric Theory.
[Full Text][Citation analysis]		article12
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: 12		paper
2016Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2017Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
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]		article37
2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
[Full Text][Citation analysis]		article54

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