Lei Qi

Princeton University - Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

2

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CITATIONS

2

Scholarly Papers (2)

1.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,419 (12,324)
Citation 1

Abstract:

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quasi-likelihood, two-step estimator, heavy-tailed error

2.
Downloads 737 ( 32,514)
Citation 1

Sparse High Dimensional Models in Economics

Number of pages: 53 Posted: 16 Aug 2010
Jianqing Fan, Jinchi Lv and Lei Qi
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University - Bendheim Center for Finance
Downloads 737 (32,012)
Citation 1

Abstract:

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Variable selection, independence screening, sparsity, oracle properties, penalized least squares, penalized likelihood, spurious correlation, sparse VAR, factor models, volatility estimation, portfolio selection