Yanrong Yang

The Australian National University

Canberra, Australian Capital Territory 2601

Australia

  • The Australian National University

SCHOLARLY PAPERS

11

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1,199

TOTAL CITATIONS

2

Scholarly Papers (11)

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1.

Time-varying Minimum Variance Portfolio

Number of pages: 58 Posted: 18 Nov 2021
Qingliang Fan, Ruike Wu, Yanrong Yang and Wei Zhong
The Chinese University of Hong Kong, Xiamen University, The Australian National University and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 419 (143,495)
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Minimum variance portfolio, time-varying covariance matrix, shrinkage estimation, testing constancy, sharp risk consistency

2.

Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices

Number of pages: 40 Posted: 17 Dec 2019
Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang
Monash University, Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and The Australian National University
Downloads 169 (359,170)

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Factor Model; High-Dimensional Data; Principal Component Analysis; Spiked Empirical Eigenvalue

3.

Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model

Number of pages: 66 Posted: 13 Apr 2021
Yufeng Mao, Bin Peng, Mervyn Joseph Silvapulle, Param Silvapulle and Yanrong Yang
University of Padova, Department of Economics and Management, Monash University - Department of Econometrics and Business Statistics, Monash University, Monash University - Department of Econometrics & Business Statistics and The Australian National University
Downloads 130 (445,014)

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Three-Dimensional Panel Data, Bilateral Trade, Asymptotic Theory

4.

Interactive Effects Panel Data Models with General Factors and Regressors

Number of pages: 76 Posted: 25 Jun 2020 Last Revised: 23 Nov 2021
Bin Peng, Liangjun Su, Joakim Westerlund and Yanrong Yang
Monash University - Department of Econometrics and Business Statistics, Tsinghua University, Lund University - Department of Economics and The Australian National University
Downloads 124 (461,594)

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Panel data, non-stationarity, principal components, interactive effects

5.

Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy

Number of pages: 81 Posted: 25 Jul 2024
Jiti Gao, Fei Liu, Bin Peng and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance, Monash University - Department of Econometrics and Business Statistics and The Australian National University
Downloads 73 (652,037)

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Dependent Wild Bootstrap, Group-LASSO, Semiparametric Model, Treatment Effects JEL classification: C14, C22, C45

6.

Eigen-Analysis for High-Dimensional Time Series

Number of pages: 58 Posted: 30 Nov 2023
Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang
Monash University, Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and The Australian National University
Downloads 59 (725,081)

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Factor model; non-stationarity; sample covariance matrix; stationarity

7.

A Localized Neural Network with Dependent Data: Estimation and Inference

Number of pages: 59 Posted: 18 Jun 2023
Jiti Gao, Bin Peng and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and The Australian National University
Downloads 54 (755,389)

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Activation Function; Binary Structure; Deep Learning; Kernel Regression; Time Series

8.

AR-sieve Bootstrap for High-dimensional Time Series

Number of pages: 69 Posted: 07 Dec 2021
Daning Bi, Han Lin Shang, Yanrong Yang and Huanjun Zhu
Hunan University, Macquarie University, The Australian National University and Xiamen University
Downloads 50 (781,249)

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Autocovariance matrices; Factor models; High-dimensional time series; AR-sieve bootstrap; Temporal dependence

9.

Extent Pursuit for Cross-Sectional Dependence in Large Panels

Number of pages: 47 Posted: 13 May 2019
Jiti Gao, Guangming Pan, Yanrong Yang and Bo Zhang
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU), The Australian National University and Monash University
Downloads 49 (788,097)

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Cross-sectional dependence; factor model; joint estimation; large panel data analysis; marginal estimation

10.

Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets

Number of pages: 44 Posted: 23 Oct 2024
Qingliang Fan, Ruike Wu and Yanrong Yang
The Chinese University of Hong Kong, Xiamen University and The Australian National University
Downloads 37 (880,091)

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Minimum variance portfolio, Factor model, Robust portfolio, Covariance learning

11.

"Double Descent" in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy

Number of pages: 51 Posted: 21 Jan 2025
Yonghe Lu, Yanrong Yang and Terry Zhang
Australian National University (ANU), The Australian National University and Australian National University (ANU)
Downloads 35

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Asset Pricing, Double Descent, High-Dimensional Data, Machine Learning, Mean-Variance Portfolio Optimization, Random Matrix Theory