Yu-Min Yen

Department of International Business, National Chengchi University

64, Section 2, Zhi-nan Road

Wenshan

Taipei, 116

Taiwan

SCHOLARLY PAPERS

9

DOWNLOADS

475

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (9)

1.

Solving Norm Constrained Portfolio Optimization via Coordinate-Wise Descent Algorithms

Computational Statistics and Data Analysis, Vol.76, 2014
Number of pages: 59 Posted: 12 May 2010 Last Revised: 28 Sep 2019
Yu-Min Yen and Tso-Jung Yen
Department of International Business, National Chengchi University and Academia Sinica - Institute of Statistical Science
Downloads 178 (243,842)
Citation 5

Abstract:

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Minimum variance portfolio, Weighted norm constraint, Berhu penalty, Grouped portfolio selection

2.

Testing Jumps via False Discovery Rate Control

PloS One, Vol.8, 2013
Number of pages: 42 Posted: 10 Apr 2010 Last Revised: 28 Sep 2019
Yu-Min Yen
Department of International Business, National Chengchi University
Downloads 87 (411,971)

Abstract:

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False Discovery Rate, BH procedure, BNS nonparametric jump Test

3.

Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures

Number of pages: 55 Posted: 23 Sep 2019 Last Revised: 10 Jan 2022
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 74 (452,228)

Abstract:

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Expected shortfall, Forecast, Realized variance measure, Semiparametric estimation, Value-at-risk

4.

Testing Forecast Accuracy of Expectiles and Quantiles with the Extremal Consistent Loss Functions

International Journal of Forecasting, accepted
Number of pages: 85 Posted: 16 Nov 2016 Last Revised: 28 Nov 2020
Yu-Min Yen and Tso-Jung Yen
Department of International Business, National Chengchi University and Academia Sinica - Institute of Statistical Science
Downloads 51 (546,975)

Abstract:

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Consistent loss function, Expectile, Extremal consistent loss function, Quantile

5.

Estimations of the Conditional Tail Average Treatment Effect

Number of pages: 44 Posted: 03 Feb 2021 Last Revised: 22 Sep 2021
Le‐Yu Chen and Yu-Min Yen
Academia Sinica and Department of International Business, National Chengchi University
Downloads 25 (693,829)

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Causal inference, Conditional tail expectation, Endogeneity, Semiparametric estimation, Treatment effect

6.

Sparse Weighted-Norm Minimum Variance Portfolios

Review of Finance, Vol.20, No.3, 2016
Number of pages: 75 Posted: 28 Oct 2011 Last Revised: 28 Sep 2019
Yu-Min Yen
Department of International Business, National Chengchi University
Downloads 22 (717,582)
Citation 4

Abstract:

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portfolio optimization; norm penalty; shrinkage; high dimension; estimation error

7.

Forward-Looking Information on Growth and Uncertainty Implied by Derivative Securities: Evidence from an Emerging Market

International Review of Economics & Finance, Vol. 62, 2019
Number of pages: 50 Posted: 08 Oct 2019
Yu-Min Yen
Department of International Business, National Chengchi University
Downloads 20 (742,483)

Abstract:

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Implied dividend, Risk neutral kurtosis, Risk neutral skewness, Variance risk premium

8.

Macroeconomic Forecasting Using Approximate Factor Models with Outliers

International Journal of Forecasting, vol. 36, 2020
Number of pages: 45 Posted: 08 Oct 2019 Last Revised: 28 Nov 2020
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 9 (838,773)

Abstract:

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Approximate factor model, Macroeconomic forecast, Multivariate time series, Outlier, Principal component analysis

9.

Risk Evaluations with Robust Approximate Factor Models

Journal of Banking and Finance, Vol. 82, 2017
Number of pages: 48 Posted: 17 Nov 2016 Last Revised: 28 Sep 2019
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 9 (838,773)
Citation 1

Abstract:

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Approximate Factor Model, PCA, Norm Penalty, Common Factor, Idiosyncratic Risk, VaR