Chih-Ling Tsai

University of California, Davis - Graduate School of Management

Prof.

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

28

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CITATIONS
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Top 15,018

in Total Papers Citations

24

Scholarly Papers (28)

1.

Holding Size While Improving Power in Tests of Long-Run Abnormal Stock Returns

Number of pages: 35 Posted: 02 Dec 1996
Brad M. Barber, Richard Lyon and Chih-Ling Tsai
University of California, Davis, affiliation not provided to SSRN and University of California, Davis - Graduate School of Management
Downloads 1,165 (13,789)
Citation 11

Abstract:

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2.

Tail Index Regression

UC Davis Graduate School of Management Research Paper No. 08-09
Number of pages: 28 Posted: 11 Feb 2009
Hansheng Wang and Chih-Ling Tsai
Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 395 (52,866)
Citation 1

Abstract:

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Generalized Extreme Distribution; Generalized Pareto Distribution; Hill Estimator; Pareto-type Distribution; Tail Index Regression

3.

A Bayesian Information Criterion for Portfolio Selection

Number of pages: 32 Posted: 17 Jun 2011
Wei Lan, Hansheng Wang and Chih-Ling Tsai
Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 305 (75,571)

Abstract:

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Bayesian Information Criterion, Minimal Variance Portfolio, Portfolio Selection, Risk Diversification

4.

House Money Effect: Evidence from Market Makers at Taiwan Futures Exchange

Number of pages: 56 Posted: 19 Mar 2006
Yu-Jane Liu, Chih-Ling Tsai, Ming-Chun Wang and Ning Zhu
National Chengchi University (NCCU) - Department of Finance and Banking, University of California, Davis - Graduate School of Management, National Chengchi University and China Academy of Financial Research (CAFR)
Downloads 277 (82,774)
Citation 1

Abstract:

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House money effect, market maker, derivatives, investor behavior

5.

Markov-Switching Model Selection Using Kullback-Leibler Divergence

UC Davis Agricultural and Resource Economics Working Paper No. 05-001
Number of pages: 43 Posted: 02 May 2005
Aaron Smith, Prasad A. Naik and Chih-Ling Tsai
University of California, Davis - Department of Agricultural and Resource Economics, University of California, Davis and University of California, Davis - Graduate School of Management
Downloads 200 (122,634)
Citation 6

Abstract:

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Advertising effectiveness, business cycles, EM algorithm, hidden Markov models, information criterion, Markov-switching regression

6.

Profiled Forward Regression for Ultrahigh Dimensional Variable Screening in Semiparametric Partially Linear Models

Number of pages: 26 Posted: 24 Jan 2011
Hua Liang, Hansheng Wang and Chih-Ling Tsai
affiliation not provided to SSRN, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 198 (119,251)

Abstract:

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Forward Regression, Partially Linear Model, Profiled Forward Regression, Screening Consistency, Ultrahigh Dimensional Predictor

7.

Does a Bayesian Approach Generate Robust Forecasts? Evidence from Applications in Portfolio Investment Decisions

Number of pages: 8 Posted: 17 Dec 2008
Chih-Ling Tsai, Hansheng Wang and Ning Zhu
University of California, Davis - Graduate School of Management, Peking University - Guanghua School of Management and China Academy of Financial Research (CAFR)
Downloads 188 (130,808)

Abstract:

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model selection, BIC, model averaging, model mixing, stock predictability, financial markets

8.

Testing Covariates in High Dimensional Regression

Number of pages: 34 Posted: 05 May 2013
Wei Lan, Hansheng Wang and Chih-Ling Tsai
Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 172 (122,084)

Abstract:

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Generalized Linear Model, High Dimensional Data, Hypotheses Testing, Paid Search Advertising, Partial Covariance, Partial F-Test

9.

Contour Projected Dimension Reduction

The Annals of Statistics, Forthcoming
Number of pages: 52 Posted: 24 Dec 2008
Ronghua Luo, Hansheng Wang and Chih-Ling Tsai
Southwestern University of Finance and Economics (SWUFE) - School of Finance, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 141 (161,811)
Citation 1

Abstract:

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central subspace, central contour subspace, contour projection, directional regression, generalized contour subspace

10.

Tobit Model Estimation and Sliced Inverse Regression

NYU Working Paper No. SOR-2006-1
Number of pages: 22 Posted: 03 Nov 2008
Lexin Li, Jeffrey S. Simonoff and Chih-Ling Tsai
North Carolina State University, New York University (NYU) - Leonard N. Stern School of Business and University of California, Davis - Graduate School of Management
Downloads 136 (169,340)

Abstract:

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Dimension reduction, Heteroscedasticity, Nonnormality, Single-index model

11.

Score Tests for the Single Index Model

NYU Working Paper No. SOR-2000-5
Number of pages: 10 Posted: 31 Oct 2008
Jeffrey S. Simonoff and Chih-Ling Tsai
New York University (NYU) - Leonard N. Stern School of Business and University of California, Davis - Graduate School of Management
Downloads 130 (182,420)

Abstract:

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Autocorrelation, Heteroscedasticity, Local polynomial estimation, Model selection

12.

Regression Analysis of Asymmetric Pairs in Large-Scale Network Data

Number of pages: 12 Posted: 10 Oct 2011
Rui Pan, Hansheng Wang and Chih-Ling Tsai
Peking University, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 101 (182,420)

Abstract:

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Asymmetric Pair, Dyad Independence Model, Latent Space Model, Social Network, Stochastic Block Model

13.

Subgroup Analysis via Recursive Partitioning

UC Davis Graduate School of Management Research Paper No. 12-09
Number of pages: 20 Posted: 12 Feb 2009
University of Central Florida, University of California, Davis - Graduate School of Management, Peking University - Guanghua School of Management, University of Central Florida and United States Bureau of Labor Statistics
Downloads 98 (198,932)

Abstract:

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CART, Interaction, Subgroup Analysis, Random Forests

14.

Semiparametric and Additive Model Selection Using an Improved Akaike Information Criterion

NYU Working Paper No. SOR-97-12
Number of pages: 20 Posted: 31 Oct 2008
Jeffrey S. Simonoff and Chih-Ling Tsai
New York University (NYU) - Leonard N. Stern School of Business and University of California, Davis - Graduate School of Management
Downloads 94 (228,224)
Citation 4

Abstract:

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Goodness-of-fit, Kullback-Leibler discrepancy, Nonparametric regression, Smoothing spline regression estimator

15.

Testing the Diagonality of a Large Covariance Matrix in a Regression Setting

Number of pages: 35 Posted: 14 May 2014
Peking University - Guanghua School of Management, Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of California, Davis - Graduate School of Management, Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Downloads 85 (189,252)

Abstract:

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Bias-Corrected Test; Covariance; Diagonality Test; High Dimensional Data; Multivariate Analysis

16.

Quantile Correlations and Quantile Autoregressive Modeling

Number of pages: 37 Posted: 29 Sep 2012
Guodong Li, Yang Li and Chih-Ling Tsai
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong - Department of Statistics & Actuarial Science and University of California, Davis - Graduate School of Management
Downloads 85 (213,376)

Abstract:

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Autocorrelation function, Box-Jenkins method, Quantile correlation, Quantile partial correlation, Quantile autoregressive model

17.

A Joint Regression Variable and Autoregressive Order Selection Criterion

Journal of Time Series Analysis Vol. 25, No. 6, pp. 923-941, November 2004
Number of pages: 19 Posted: 18 Oct 2004
Peide Shi and Chih-Ling Tsai
Peking University - School of Mathematical Sciences and University of California, Davis - Graduate School of Management
Downloads 16 (476,356)
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Abstract:

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AIC, BIC, Kullback-Leibler information, model selection, residual likelihood

18.

Sequential Model Averaging for High Dimensional Linear Regression Models

Number of pages: 36 Posted: 11 Jan 2017 Last Revised: 13 Jan 2017
Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research, Beihang University (BUAA), Beijing Normal University, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 0 (243,051)

Abstract:

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Forward Regression, Sequential Model Averaging, Sequential Screening, Univariate Model Averaging

19.

Testing a Single Regression Coefficient in High Dimensional Regression Model

Number of pages: 46 Posted: 25 May 2016
Peking University - Guanghua School of Management, Michigan State University, Pennsylvania State University, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 0 (222,114)

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Correlated Predictors Screening; False Discovery Rate; High Dimensional Data; Single Coefficient Test

20.

Covariance Matrix Estimation Via Network Structure

Number of pages: 35 Posted: 20 Mar 2016
Wei Lan, Zheng Fang, Hansheng Wang and Chih-Ling Tsai
Peking University - Guanghua School of Management, Sichuan University - Business School, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 0 (135,892)

Abstract:

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Adjacency Matrix; Bayesian Information Criterion; Covariance Estimation; Covariance Regression Network Model; High Dimensional Data

21.

Covariance Regression Analysis

Number of pages: 41 Posted: 10 Dec 2015
Tao Zou, Wei Lan, Hansheng Wang and Chih-Ling Tsai
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Peking University - Guanghua School of Management, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
Downloads 0 (87,937)

Abstract:

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Covariance Regression; Covariance Matrix Estimation; Positive Definiteness; Portfolio Management

22.

A Hybrid Bootstrap Approach to Unit Root Tests

Journal of Time Series Analysis, Vol. 35, Issue 4, pp. 299-321, 2014
Number of pages: 23 Posted: 24 Jun 2014
Chenlei Leng and Chih-Ling Tsai
University of Warwick and University of California, Davis - Graduate School of Management
Downloads 0 (573,256)
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Bootstrap, Brownian motion, least absolute deviation, unit root test

23.

On Mixture Regression Shrinkage and Selection Via the MR-Lasso

International Journal of Pure and Applied Mathematics, Vol. 46, pp. 403-414, 2008
Posted: 02 Dec 2008
Ronghua Luo, Chih-Ling Tsai and Hansheng Wang
Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of California, Davis - Graduate School of Management and Peking University - Guanghua School of Management

Abstract:

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finite mixture model, LASSO, mixture penalty

24.

Improving Dimension Reduction Via Contour-Projection

Statistica Sinica, Vol. 18, pp. 299-311, 2008
Posted: 02 Dec 2008
Hansheng Wang, Liqiang Ni and Chih-Ling Tsai
Peking University - Guanghua School of Management, University of Central Florida - Department of Statistics and University of California, Davis - Graduate School of Management

Abstract:

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Contour-projection, dimension reduction, linearity condition, sliced average variance estimation, sliced inverse regression

25.

Tuning Parameter Selectors for the Smoothly Clipped Absolute Deviation Method

Biometrika, Vol. 94, pp. 553-568, 2007
Posted: 02 Dec 2008
Hansheng Wang, Runze Li and Chih-Ling Tsai
Peking University - Guanghua School of Management, Pennsylvania State University and University of California, Davis - Graduate School of Management

Abstract:

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aic, bic, Generalised crossvalidation, Least absolute shrinkage and selection operator, Smoothly clipped absolute deviation

26.

Regression Coefficients and Autoregressive Order Shrinkage and Selection Via the Lasso

Journal of Royal Statistical Society, Series B, Vol. 69, pp. 63-78, 2007
Posted: 02 Dec 2008
Hansheng Wang, Guodong Li and Chih-Ling Tsai
Peking University - Guanghua School of Management, The University of Hong Kong - Department of Statistics and Actuarial Science and University of California, Davis - Graduate School of Management

Abstract:

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ARX, Lasso, Oracle Estimator, REGAR

27.

Extracting Forward-Looking Information from Security Prices: A New Approach

Accounting Review, Forthcoming
Posted: 30 Jan 2008
Dan Weiss, Prasad A. Naik and Chih-Ling Tsai
Tel Aviv University - Faculty of Management, University of California, Davis and University of California, Davis - Graduate School of Management

Abstract:

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Single-Index-Model, Market-Adapted Earnings

28.

Improved Methods for Tests of Long-Run Abnormal Stock Returns

Posted: 08 Oct 1997
Brad M. Barber and Chih-Ling Tsai
University of California, Davis and University of California, Davis - Graduate School of Management

Abstract:

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