Han Liu

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

2

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98

CITATIONS

2

Scholarly Papers (2)

1.

Robust Inference of Risks of Large Portfolios

Number of pages: 45 Posted: 12 Jan 2015
Princeton University - Bendheim Center for Finance, Johns Hopkins University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 98 (265,285)
Citation 1

Abstract:

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High dimensionality; robust inference; rank statistics; quantile statistics; risk management; covariance matrix.

2.

An Overview of the Estimation of Large Covariance and Precision Matrices

The Econometrics Journal, Vol. 19, Issue 1, pp. C1-C32, 2016
Number of pages: 32 Posted: 10 May 2016
Jianqing Fan, Yuan Liao and Han Liu
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 0 (661,222)
Citation 7
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Abstract:

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Approximate factor model, Elliptical distribution, Graphical model, Heavy‐tailed, High‐dimensionality, Low‐rank matrix, Principal components, Rank‐based methods, Sparse matrix, Thresholding