Yuan Liao

Rutgers, The State University of New Jersey - New Brunswick/Piscataway

94 Rockafeller Road

New Brunswick, NJ 08901

United States

http://rci.rutgers.edu/~yl1114

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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Top 8,480

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126

CROSSREF CITATIONS

28

Scholarly Papers (22)

1.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 882 (32,998)
Citation 34

Abstract:

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

2.

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 - New Brunswick/Piscataway and University of Chicago - Booth School of Business
Downloads 640 (50,921)
Citation 18

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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

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 - New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 495 (70,439)
Citation 24

Abstract:

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

4.

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 - New Brunswick/Piscataway
Downloads 299 (125,403)
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

5.

High Dimensional Covariance Matrix Estimation in Approximate Factor Models

Number of pages: 29 Posted: 23 May 2011 Last Revised: 26 May 2011
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 278 (135,291)
Citation 28

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

6.

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 - New Brunswick/Piscataway and Princeton University
Downloads 245 (153,615)
Citation 7

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

7.

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 - New Brunswick/Piscataway
Downloads 216 (173,366)
Citation 3

Abstract:

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

8.

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 - New Brunswick/Piscataway and Princeton University
Downloads 156 (231,115)
Citation 4

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9.

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 - New Brunswick/Piscataway
Downloads 128 (270,361)
Citation 20

Abstract:

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

10.

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 - New Brunswick/Piscataway
Downloads 106 (309,338)
Citation 2

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

11.

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 - New Brunswick/Piscataway and affiliation not provided to SSRN
Downloads 76 (380,279)

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

12.

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 - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of Economics
Downloads 69 (401,137)
Citation 1

Abstract:

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

13.

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 - New Brunswick/Piscataway
Downloads 58 (438,030)
Citation 7

Abstract:

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

14.

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
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 - New Brunswick/Piscataway
Downloads 46 (484,613)
Citation 1

Abstract:

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

15.

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 and Anna Simoni
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 45 (488,959)
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

16.

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 - New Brunswick/Piscataway
Downloads 42 (502,226)
Citation 1

Abstract:

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

17.

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

Number of pages: 47 Posted: 09 Jul 2020
Seoul National University, Rutgers, The State University of New Jersey - New Brunswick/Piscataway, Seoul National University - School of Economics and Department of Economics
Downloads 28 (574,692)
Citation 4

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

18.

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 - New Brunswick/Piscataway and affiliation not provided to SSRN
Downloads 26 (587,174)
Citation 2

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

19.

Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas

Number of pages: 35 Posted: 10 Mar 2021
Mingmian Cheng, Yuan Liao and Xiye Yang
Lingnan College, Sun Yat-sen University, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of Economics
Downloads 20 (627,289)

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Diffusion-Index Forecast, Factor Model, Uniform Inference, Large Dimensional Data, High-Frequency Data

20.

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 - New Brunswick/Piscataway and affiliation not provided to SSRN
Downloads 19 (634,256)
Citation 1

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

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

Number of pages: 13 Posted: 02 Oct 2019
Department of Economics, Seoul National University, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Seoul National University - School of Economics
Downloads 11 (720,247)

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fiscal policy, threshold regression, recession

22.

Factor-Driven Two-Regime Regression

Posted: 26 Nov 2018
Columbia University, Rutgers, The State University of New Jersey - New Brunswick/Piscataway, 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