Yuan Liao

Rutgers, The State University of New Jersey - Department of Economics

SCHOLARLY PAPERS

26

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6,566

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Top 5,114

in Total Papers Citations

319

Scholarly Papers (26)

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1.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09, Yale ICF Working Paper No. 2018-16
Number of pages: 91 Posted: 17 Oct 2018 Last Revised: 26 Mar 2020
Stefano Giglio, Yuan Liao and Dacheng Xiu
Yale School of Management, Rutgers, The State University of New Jersey - Department of Economics and University of Chicago - Booth School of Business
Downloads 1,235 (34,169)
Citation 56

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Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning, Missing Data, Wild-Bootstrap, Matrix Completion

2.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 998 (46,266)
Citation 34

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High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation

3.

Projected Principal Component Analysis in Factor Models

Number of pages: 50 Posted: 18 Jun 2014
Jianqing Fan, Yuan Liao and Weichen Wang
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 610 (88,804)
Citation 72

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approximate factor model, high dimensionality, sieve approximation, semi-parametric

4.

Does Noise Hurt Economic Forecasts?

Number of pages: 58 Posted: 20 Dec 2023 Last Revised: 19 Nov 2024
Yuan Liao, Xinjie Ma, Andreas Neuhierl and Zhentao Shi
Rutgers, The State University of New Jersey - Department of Economics, Business School, National University of Singapore, Washington University in St. Louis - John M. Olin Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 441 (132,432)

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machine learning, factor model, double descent, dense signals

5.

Endogeneity in Ultrahigh Dimension

Number of pages: 53 Posted: 25 Apr 2012
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - Department of Economics
Downloads 381 (156,244)
Citation 1

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Focused GMM, Sparsity recovery, Endogenous variables, Oracle property, Conditional moment restriction, Estimating equation, Over identification, Global minimization, Semi-parametric efficiency

6.

High Dimensional Covariance Matrix Estimation in Approximate Factor Models

Number of pages: 29 Posted: 23 May 2011 Last Revised: 26 May 2011
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 324 (186,335)
Citation 71

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sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression

7.

Robust Stock Index Return Predictions Using Deep Learning *

Number of pages: 70 Posted: 12 Jul 2024
Ravi Jagannathan, Yuan Liao and Andreas Neuhierl
Northwestern University - Kellogg School of Management, Rutgers, The State University of New Jersey - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 301 (202,250)

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machine learning explainability, uncertainty, forecast confidence intervals

8.

Power Enhancement in High Dimensional Cross-Sectional Tests

Number of pages: 60 Posted: 16 Oct 2013 Last Revised: 17 Aug 2014
Jianqing Fan, Yuan Liao and Jiawei Yao
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 276 (220,602)
Citation 25

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sparse alternatives, thresholding, large covariance matrix estimation, Wald-test, screening, cross-sectional independence, factor pricing model

9.

Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

Number of pages: 49 Posted: 23 Mar 2016 Last Revised: 24 Sep 2018
Jianqing Fan, Yuan Ke and Yuan Liao
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Rutgers, The State University of New Jersey - Department of Economics
Downloads 260 (234,121)
Citation 5

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Huber loss, Heavy tails, Forecasts, Fama-French factors, Large dimensions

10.

Risks of Large Portfolios

Number of pages: 40 Posted: 05 Feb 2013
Jianqing Fan, Yuan Liao and Xiaofeng Shi
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 196 (306,641)
Citation 9

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11.

Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors

Number of pages: 74 Posted: 18 Sep 2019 Last Revised: 04 Jun 2020
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - Department of Economics
Downloads 185 (323,206)
Citation 5

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Large dimensions, random projections, over-estimating the number of factors, principal components, factor-augmented regression

12.

Recent Developments on Factor Models and its Applications in Econometric Learning

Annual Review of Financial Economics, Forthcoming
Number of pages: 60 Posted: 02 Oct 2020
Jianqing Fan, Kunpeng Li and Yuan Liao
Princeton University - Bendheim Center for Finance, Capital University of Economics and Business and Rutgers, The State University of New Jersey - Department of Economics
Downloads 181 (329,730)
Citation 1

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factor models, spiked low rank matrix, matrix completion, unbalanced panel, factor adjustments, robustness, model section, multiple testing, high-dimensional

13.

Changes in the Span of Systematic Risk Exposures

Number of pages: 55 Posted: 13 Feb 2023
Yuan Liao and Viktor Todorov
Rutgers, The State University of New Jersey - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 174 (341,387)

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asset pricing, high-frequency data, latent factor model, nonparametric test, PCA, systematic risk

14.

Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood

Number of pages: 57 Posted: 27 Sep 2012 Last Revised: 30 Sep 2012
Jushan Bai and Yuan Liao
New York University (NYU) - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 161 (364,941)
Citation 20

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High dimensionality, unknown factors, principal components, sparse matrix, conditional sparse, thresholding, cross-sectional correlation, penalized maximum likelihood, adaptive lasso, heteroskedasticity

15.

Desperate Times Call for Desperate Measures: Government Spending Multipliers in Hard Times

Number of pages: 13 Posted: 02 Oct 2019
Youngki Shin, Sokbae Lee, Yuan Liao and Myung Hwan Seo
Department of Economics, Seoul National University, Rutgers, The State University of New Jersey - Department of Economics and Seoul National University - School of Economics
Downloads 123 (452,292)

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fiscal policy, threshold regression, recession

16.

Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models

Number of pages: 52 Posted: 15 Nov 2017 Last Revised: 03 Dec 2018
Yuan Liao and Xiye Yang
Rutgers, The State University of New Jersey - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 115 (475,980)
Citation 1

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Large dimensions, high-frequency data, cross-sectional bootstrap

17.

Bayesian Analysis of Risk for Data Mining Based on Empirical Likelihood

Number of pages: 36 Posted: 11 Feb 2011
Yuan Liao and Wenxin Jiang
Rutgers, The State University of New Jersey - Department of Economics and affiliation not provided to SSRN
Downloads 100 (526,472)

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classification, consistency, partial identification, moment condition, EL-posterior

18.

Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models

Number of pages: 37 Posted: 14 Nov 2013
Jushan Bai and Yuan Liao
New York University (NYU) - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 86 (579,125)
Citation 7

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High dimensionality, unknown factors, conditional sparsity, thresholding, cross-sectional correlation, heteroskedasticity, optimal weight matrix, interactive effect

19.

A Lava Attack on the Recovery of Sums of Dense and Sparse Signals

Number of pages: 34 Posted: 13 Feb 2015 Last Revised: 25 Mar 2015
Victor Chernozhukov, Christian Hansen and Yuan Liao
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 79 (608,852)
Citation 2

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high-dimensional models, penalization, shrinkage, non-sparse signal recovery

20.

Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate

Number of pages: 47 Posted: 09 Jul 2020
Sokbae Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin
Seoul National University, Rutgers, The State University of New Jersey - Department of Economics, Seoul National University - School of Economics and Department of Economics
Downloads 76 (622,065)
Citation 6

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COVID-19, trend filtering, knots, piecewise linear fitting, Hodrick-Prescott filter

21.

Fast Inference for Quantile Regression with Tens of Millions of Observations

Number of pages: 51 Posted: 21 Nov 2022
Sokbae Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin
Columbia University, Rutgers, The State University of New Jersey - Department of Economics, Seoul National University - School of Economics and Department of Economics
Downloads 72 (640,473)

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large-scale inference, stochastic gradient descent, subgradient

22.

Semi-Parametric Bayesian Partially Identified Models Based on Support Function

Number of pages: 73 Posted: 13 Dec 2012 Last Revised: 16 Dec 2012
Yuan Liao, Anna Simoni and Anna Simoni
Rutgers, The State University of New Jersey - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Angers - French National Center for Scientific Research (CNRS)
Downloads 71 (645,256)
Citation 1

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partial identification, posterior consistency, concentration rate, support function, two-sided Bayesian credible sets, identified set, coverage probability, moment inequality models

23.

Posterior Consistency of Nonparametric Conditional Moment Restricted Models

Number of pages: 30 Posted: 11 Feb 2011 Last Revised: 24 May 2011
Yuan Liao and Wenxin Jiang
Rutgers, The State University of New Jersey - Department of Economics and affiliation not provided to SSRN
Downloads 46 (787,566)
Citation 2

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Identified Region, Limited Information Likelihood, Sieve Approximation, Nonparametric Instrumental Variable, Ill-Posed Problem, Partial Identification, Bayesian Inference

24.

Bayesian Analysis in Moment Inequality Models

Number of pages: 42 Posted: 26 Mar 2012
Yuan Liao and Wenxin Jiang
Rutgers, The State University of New Jersey - Department of Economics and affiliation not provided to SSRN
Downloads 41 (823,519)
Citation 1

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Identified region, limited information likelihood, consistent set estimation, maximum posterior, model and moment selection

25.

Observable Versus Latent Risk Factors

Number of pages: 49 Posted: 29 Aug 2024
Yuan Liao and Viktor Todorov
Rutgers, The State University of New Jersey - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 34 (879,839)

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asset pricing, high-frequency data, latent factor model, nonparametric test, PCA

26.

Factor-Driven Two-Regime Regression

Posted: 26 Nov 2018
Sokbae Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin
Columbia University, Rutgers, The State University of New Jersey - Department of Economics, Seoul National University - School of Economics and University of Rochester - Department of Economics

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threshold regression, factors, mixed integer optimization, panel data, phase transition, oracle properties, l0-penalization