Kunpeng Li

Capital University of Economics and Business

Zhangjialukou 121, Huaxiang

Fengtai district

Beijing, 100070

China

SCHOLARLY PAPERS

6

DOWNLOADS
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SSRN RANKINGS

Top 25,353

in Total Papers Downloads

3,841

SSRN CITATIONS
Rank 25,030

SSRN RANKINGS

Top 25,030

in Total Papers Citations

45

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
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 1,767 (18,808)
Citation 36

Abstract:

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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: 74 Posted: 23 Jan 2018 Last Revised: 03 Mar 2023
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 1,398 (26,830)

Abstract:

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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 292 (196,043)
Citation 9

Abstract:

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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 - Department of Economics
Downloads 175 (318,839)
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

5.

Measuring Real-time Economic Condition with Economic Narratives

Number of pages: 50 Posted: 24 Oct 2022
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 156 (351,887)

Abstract:

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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 of Boston Supervisory Research & Analysis Unit Working Paper No. RPA 18-2
Number of pages: 57 Posted: 24 Jan 2019 Last Revised: 13 Oct 2023
Kunpeng Li, Qi Li and Lina Lu
Capital University of Economics and Business, Texas A&M University and Federal Reserve Bank of Boston
Downloads 53 (700,829)

Abstract:

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