9
H index
8
i10 index
564
Citations
Rutgers University-New Brunswick | 9 H index 8 i10 index 564 Citations RESEARCH PRODUCTION: 6 Articles 17 Papers RESEARCH ACTIVITY: 8 years (2011 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pli595 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 3 |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 7 |
Papers / arXiv.org | 6 |
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies | 2 |
Year | Title of citing document |
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2024 | Quasi 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 |
2023 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper |
2024 | Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611. Full description at Econpapers || Download paper |
2023 | Sparse Quantile Regression. (2020). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2006.11201. Full description at Econpapers || Download paper |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper |
2024 | CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517. Full description at Econpapers || Download paper |
2023 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2024 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper |
2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper |
2024 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. Full description at Econpapers || Download paper |
2024 | Co-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. Full description at Econpapers || Download paper |
2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper |
2023 | Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362. Full description at Econpapers || Download paper |
2023 | High-Dimensional Canonical Correlation Analysis. (2023). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393. Full description at Econpapers || Download paper |
2023 | Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689. Full description at Econpapers || Download paper |
2024 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper |
2023 | Target PCA: Transfer Learning Large Dimensional Panel Data. (2023). Xiong, Ruoxuan ; Pelger, Markus ; Duan, Junting. In: Papers. RePEc:arx:papers:2308.15627. Full description at Econpapers || Download paper |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper |
2023 | Inference for Low-rank Models without Estimating the Rank. (2023). Kwon, Hyukjun ; Choi, Jungjun ; Liao, Yuan. In: Papers. RePEc:arx:papers:2311.16440. Full description at Econpapers || Download paper |
2023 | Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593. Full description at Econpapers || Download paper |
2024 | Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523. Full description at Econpapers || Download paper |
2024 | Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data. (2024). Zhang, Haoxuan ; Linton, Oliver. In: Papers. RePEc:arx:papers:2403.06246. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Information?incorporated Gaussian graphical model for gene expression data. (2022). Ma, Shuangge ; Lin, Cunjie ; Zhang, Qingzhao ; Yi, Huangdi. In: Biometrics. RePEc:bla:biomet:v:78:y:2022:i:2:p:512-523. Full description at Econpapers || Download paper |
2023 | Changeâ€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. Full description at Econpapers || Download paper |
2023 | Prediction 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. Full description at Econpapers || Download paper |
2023 | Block-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. Full description at Econpapers || Download paper |
2023 | Robust 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. Full description at Econpapers || Download paper |
2023 | Change-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. Full description at Econpapers || Download paper |
2023 | Improving 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Large 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. Full description at Econpapers || Download paper |
2023 | Shrinkage 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. Full description at Econpapers || Download paper |
2023 | Community 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. Full description at Econpapers || Download paper |
2023 | Parametric 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. Full description at Econpapers || Download paper |
2023 | Binary 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. Full description at Econpapers || Download paper |
2023 | Wild 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. Full description at Econpapers || Download paper |
2023 | Large 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. Full description at Econpapers || Download paper |
2023 | Sparse 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. Full description at Econpapers || Download paper |
2023 | Sharpe 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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2023 | Post-processed posteriors for sparse covariances. (2023). Lee, Jaeyong. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001914. Full description at Econpapers || Download paper |
2023 | Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300. Full description at Econpapers || Download paper |
2023 | Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach. (2023). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002111. Full description at Econpapers || Download paper |
2023 | Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135. Full description at Econpapers || Download paper |
2024 | Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646. Full description at Econpapers || Download paper |
2024 | Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179. Full description at Econpapers || Download paper |
2024 | Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180. Full description at Econpapers || Download paper |
2024 | Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593. Full description at Econpapers || Download paper |
2024 | Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x. Full description at Econpapers || Download paper |
2024 | Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (2024). Xue, Lingzhou ; Yao, Jiawei ; Yu, Xiufan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001525. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2024 | Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30. Full description at Econpapers || Download paper |
2023 | Using, 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. Full description at Econpapers || Download paper |
2023 | Optimization of large portfolio allocation for new-energy stocks: Evidence from China. (2023). Jiang, Hui ; Huang, Lei ; Wu, Yunlin. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028505. Full description at Econpapers || Download paper |
2023 | Semiparametric 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. Full description at Econpapers || Download paper |
2023 | High-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. Full description at Econpapers || Download paper |
2023 | Matrix-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. Full description at Econpapers || Download paper |
2024 | A new approach for ultrahigh-dimensional covariance matrix estimation. (2024). Ma, Xiaoyan ; Liang, Wanfeng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:204:y:2024:i:c:s0167715223001530. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Sparse 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. Full description at Econpapers || Download paper |
2023 | Heterogeneous 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. Full description at Econpapers || Download paper |
2023 | Regression 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. Full description at Econpapers || Download paper |
2024 | Deep learning for multivariate volatility forecasting in high-dimensional financial time series.. (2024). Matsuda, Yasumasa ; Iwafuchi, Rei. In: DSSR Discussion Papers. RePEc:toh:dssraa:141. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2013 | Semi-parametric Bayesian Partially Identified Models based on Support Function In: Papers. [Full Text][Citation analysis] | paper | 7 |
2012 | Semi-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 | |
2013 | Risks of Large Portfolios In: Papers. [Full Text][Citation analysis] | paper | 29 |
2015 | Risks of large portfolios.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2013 | Risks of large portfolios.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2015 | A lava attack on the recovery of sums of dense and sparse signals In: Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | A 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 | |
2015 | A 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 | |
2016 | Oracle Estimation of a Change Point in High Dimensional Quantile Regression In: Papers. [Full Text][Citation analysis] | paper | 10 |
2018 | Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers. [Full Text][Citation analysis] | paper | 9 |
2018 | Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 338 |
2011 | Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 338 | paper | |
2019 | THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
2016 | The 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 | |
2016 | Efficient estimation of approximate factor models via penalized maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
2017 | Inferences in panel data with interactive effects using large covariance matrices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
2018 | Factor-Driven Two-Regime Regression In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | Endogeneity in ultrahigh dimension In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
2011 | Posterior consistency of nonparametric conditional moment restricted models In: MPRA Paper. [Full Text][Citation analysis] | paper | 18 |
2012 | Efficient Estimation of Approximate Factor Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
2016 | Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference? In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | An overview of the estimation of large covariance and precision matrices In: Econometrics Journal. [Full Text][Citation analysis] | article | 63 |
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