Tso-Jung Yen

Academia Sinica - Institute of Statistical Science

Postdoctoral Fellow

Nankang

Taipei, 11529

Taiwan

  • Academia Sinica - Institute of Statistical Science

SCHOLARLY PAPERS

5

DOWNLOADS

446

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (5)

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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 201 (258,764)
Citation 6

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

2.

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 135 (362,231)

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

3.

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 60 (605,676)

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

4.

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 25 (837,120)

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

5.

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 25 (837,120)
Citation 1

Abstract:

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