Kunpeng Li

Capital University of Economics and Business

Zhangjialukou 121, Huaxiang

Fengtai district

Beijing, 100070

China

  • Capital University of Economics and Business

SCHOLARLY PAPERS

6

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SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (6)

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1.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,291 (23,974)
Citation 6

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Forecasting, PCA, Big Data, Machine Learning, Supervised Learning

2.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 79 Posted: 23 Jan 2018 Last Revised: 31 May 2022
Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 970 (36,247)

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Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning

3.

Spatial Panel Data Models with Common Shocks

Number of pages: 43 Posted: 01 Jan 2014
Jushan Bai and Kunpeng Li
Columbia University and Capital University of Economics and Business
Downloads 257 (180,084)
Citation 9

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Panel data models, spatial interactions, common shocks

4.

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 142 (305,777)
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

5.

Measuring Real-time Economic Condition with Economic Narratives

Number of pages: 50 Posted: 24 Oct 2022
Fuwei Jiang, Kunpeng Li, Lingchao Meng and Bowen Xue
Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Peking University and Chinese Academy of Sciences (CAS) - School of Economics and Management
Downloads 41 (620,524)

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Economic Condition, Nowcasting, Economic News, News Topics, Textual Analysis

6.

Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-2
Number of pages: 57 Posted: 24 Jan 2019 Last Revised: 18 Mar 2022
Kunpeng Li, Qi Li and Lina Lu
Capital University of Economics and Business, Texas A&M University and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 34 (662,136)

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Constrained factor models, Maximum likelihood estimation, High dimensionality, Inferential theory