Large covariance estimation by thresholding principal orthogonal complements J Fan, Y Liao, M Mincheva Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2013 | 966 | 2013 |
High dimensional covariance matrix estimation in approximate factor models J Fan, Y Liao, M Mincheva Annals of statistics 39 (6), 3320, 2011 | 466 | 2011 |
An overview of the estimation of large covariance and precision matrices J Fan, Y Liao, H Liu The Econometrics Journal 19 (1), C1-C32, 2016 | 427 | 2016 |
Power enhancement in high-dimensional cross sectional tests JY Jianqing Fan, Yuan Liao Econometrica 83, 1497-1541, 2015 | 234 | 2015 |
Projected principal component analysis in factor models J Fan, Y Liao, W Wang Annals of statistics 44 (1), 219, 2016 | 231 | 2016 |
Endogeneity in high dimensions J Fan, Y Liao Annals of statistics 42 (3), 872, 2014 | 154 | 2014 |
Thousands of alpha tests S Giglio, Y Liao, D Xiu The Review of Financial Studies 34 (7), 3456-3496, 2021 | 115 | 2021 |
Efficient estimation of approximate factor models via penalized maximum likelihood J Bai, Y Liao Journal of econometrics 191 (1), 1-18, 2016 | 94 | 2016 |
Risks of large portfolios J Fan, Y Liao, X Shi Journal of Econometrics 186 (2), 367-387, 2015 | 66 | 2015 |
A lava attack on the recovery of sums of dense and sparse signals V Chernozhukov, C Hansen, Y Liao | 60 | 2017 |
Bayesian analysis in moment inequality models Y Liao, W Jiang | 58 | 2010 |
Posterior consistency of nonparametric conditional moment restricted models Y Liao, W Jiang | 51 | 2011 |
Oracle estimation of a change point in high-dimensional quantile regression S Lee, Y Liao, MH Seo, Y Shin Journal of the American Statistical Association 113 (523), 1184-1194, 2018 | 41 | 2018 |
Fast and robust online inference with stochastic gradient descent via random scaling S Lee, Y Liao, MH Seo, Y Shin Proceedings of the AAAI Conference on Artificial Intelligence 36 (7), 7381-7389, 2022 | 31 | 2022 |
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia J Fan, Y Ke, Y Liao Journal of Econometrics 222 (1), 269-294, 2021 | 31 | 2021 |
Structural deep learning in conditional asset pricing J Fan, ZT Ke, Y Liao, A Neuhierl Available at SSRN 4117882, 2022 | 30 | 2022 |
Factor-driven two-regime regression S Lee, Y Liao, MH Seo, Y Shin The Annals of Statistics 49 (3), 1656-1678, 2021 | 30 | 2021 |
Sparse HP filter: Finding kinks in the COVID-19 contact rate S Lee, Y Liao, MH Seo, Y Shin Journal of econometrics 220 (1), 158-180, 2021 | 26 | 2021 |
Statistical inferences using large estimated covariances for panel data and factor models J Bai, Y Liao arXiv preprint arXiv:1307.2662, 2013 | 26 | 2013 |
Learning latent factors from diversified projections and its applications to over-estimated and weak factors J Fan, Y Liao Journal of the American Statistical Association 117 (538), 909-924, 2022 | 25 | 2022 |