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Yuan Liao
Yuan Liao
在 economics.rutgers.edu 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
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
9662013
High dimensional covariance matrix estimation in approximate factor models
J Fan, Y Liao, M Mincheva
Annals of statistics 39 (6), 3320, 2011
4662011
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
4272016
Power enhancement in high-dimensional cross sectional tests
JY Jianqing Fan, Yuan Liao
Econometrica 83, 1497-1541, 2015
2342015
Projected principal component analysis in factor models
J Fan, Y Liao, W Wang
Annals of statistics 44 (1), 219, 2016
2312016
Endogeneity in high dimensions
J Fan, Y Liao
Annals of statistics 42 (3), 872, 2014
1542014
Thousands of alpha tests
S Giglio, Y Liao, D Xiu
The Review of Financial Studies 34 (7), 3456-3496, 2021
1152021
Efficient estimation of approximate factor models via penalized maximum likelihood
J Bai, Y Liao
Journal of econometrics 191 (1), 1-18, 2016
942016
Risks of large portfolios
J Fan, Y Liao, X Shi
Journal of Econometrics 186 (2), 367-387, 2015
662015
A lava attack on the recovery of sums of dense and sparse signals
V Chernozhukov, C Hansen, Y Liao
602017
Bayesian analysis in moment inequality models
Y Liao, W Jiang
582010
Posterior consistency of nonparametric conditional moment restricted models
Y Liao, W Jiang
512011
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
412018
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
312022
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
312021
Structural deep learning in conditional asset pricing
J Fan, ZT Ke, Y Liao, A Neuhierl
Available at SSRN 4117882, 2022
302022
Factor-driven two-regime regression
S Lee, Y Liao, MH Seo, Y Shin
The Annals of Statistics 49 (3), 1656-1678, 2021
302021
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
262021
Statistical inferences using large estimated covariances for panel data and factor models
J Bai, Y Liao
arXiv preprint arXiv:1307.2662, 2013
262013
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
252022
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