Liyuan Cui

City University of Hong Kong

83 Tat Chee Avenue

Kowloon

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS

1,846

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Regularized GMM for Time-Varying Models with Applications to Asset Pricing

International Economic Review, Forthcoming
Number of pages: 50 Posted: 08 Apr 2021 Last Revised: 25 Oct 2023
Liyuan Cui, Guanhao Feng and Yongmiao Hong
City University of Hong Kong, City University of Hong Kong (CityU) and Cornell University - Department of Economics
Downloads 540 (97,748)
Citation 1

Abstract:

Loading...

GMM, ridge fusion penalty, stochastic discount factor, time-varying coefficient model.

2.

A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data

Management Science, forthcoming
Number of pages: 51 Posted: 08 Jul 2019 Last Revised: 29 Aug 2023
City University of Hong Kong, Cornell University - Department of Economics, Xiamen University and City University of Hong Kong (CityU) - School of Data Science
Downloads 513 (104,090)

Abstract:

Loading...

Covariance estimation, High frequency, Large dimension, Weak factors, Nuclear norm, weighted group LASSO, Vast portfolio evaluation.

3.

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Number of pages: 43 Posted: 01 May 2023 Last Revised: 22 Feb 2024
City University of Hong Kong, City University of Hong Kong (CityU), Cornell University - Department of Economics and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 438 (126,011)
Citation 1

Abstract:

Loading...

factor model, fused Lasso, structural breaks, time-varying coefficient model, variable selection

4.

A Semi-nonparametric Estimation-based Approach for Solving Multi-Euler Equations

Number of pages: 46 Posted: 13 May 2019 Last Revised: 31 Jul 2023
Liyuan Cui, Yongmiao Hong and Jingyi Yao
City University of Hong Kong, Cornell University - Department of Economics and City University of Hong Kong (CityU) - School of Data Science
Downloads 202 (280,590)

Abstract:

Loading...

Adaptive sparse group Lasso, variable selection, high-dimensional moment restrictions, continuous-updating efficient GMM, Euler equations, numerical solutions.

5.

Solving Euler Equations via Two-Stage Nonparametric Penalized Splines

Journal of Econometrics, Forthcoming
Number of pages: 52 Posted: 14 May 2019 Last Revised: 30 Apr 2020
Liyuan Cui, Yongmiao Hong and Yingxing Li
City University of Hong Kong, Cornell University - Department of Economics and Xiamen University
Downloads 153 (357,763)
Citation 4

Abstract:

Loading...

Euler equation, implied price-dividend ratio, nonparametric, penalized splines, two-stage regression, return predictability.