Jiahan Li

University of Notre Dame

Adjunct Assistant professor

156 Hurley Hall

Notre Dame, IN 46556-5646

United States

SCHOLARLY PAPERS

6

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1,375

CITATIONS

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Scholarly Papers (6)

1.

Forecasting Macroeconomic Time Series: LASSO-Based Approaches and Their Forecast Combinations with Dynamic Factor Models

Number of pages: 43 Posted: 19 Mar 2014
Jiahan Li and Weiye Chen
University of Notre Dame and University of Notre Dame
Downloads 251 (50,467)

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High-dimensional time series; Model selection; Dynamic factor model; Combining forecasts

2.

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Number of pages: 54 Posted: 13 Feb 2014
Jiahan Li, Ilias Tsiakas and Wei Wang
University of Notre Dame, University of Guelph and Fifth Third Bank
Downloads 173 (79,910)

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Exchange Rates, Out-of-Sample Forecasting, Elastic Net, Kitchen-Sink Regression, Combined Forecasts

3.

Do Hedge Funds Prefer Safe Stocks? Revisiting Hedge Fund Preferences for Stock Characteristics

Number of pages: 50 Posted: 12 Jun 2014
Charles Cao, Jeremiah Green and Jiahan Li
Pennsylvania State University, Pennsylvania State University and University of Notre Dame
Downloads 128 (146,587)

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hedge funds, stock characteristics, cross-section of returns, safe stocks

4.

Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (Lavar)

Number of pages: 30 Posted: 08 Mar 2012
Jiahan Li
University of Notre Dame
Downloads 126 (154,398)

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Monetary Policy, Vector Autoregression, Variable Selection

5.

Equity Premium Prediction: The Role of Economic and Statistical Constraints

Number of pages: 32 Posted: 17 Sep 2014 Last Revised: 23 Jul 2016
Jiahan Li and Ilias Tsiakas
University of Notre Dame and University of Guelph
Downloads 86 (163,889)

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Equity Premium, Out-of-Sample Prediction, Economic Fundamentals, Technical Indicators, Shrinkage Estimation.

6.

Sparse and Stable Portfolio Selection with Parameter Uncertainty

Journal of Business & Economic Statistics, 33, 381-392, 2014
Number of pages: 31 Posted: 09 Nov 2015
Jiahan Li
University of Notre Dame
Downloads 0 (236,415)

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Mean-variance analysis, Penalized least squares, Portfolio selection, Shrinkage methods