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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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A combined approach to the inference of conditional factor models
Li, Yan; Su, Liangjun; Xu, Yuewu - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10011390015
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Nonparametric testing for asymmetric information
Su, Liangjun; Spindler, Martin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 208-225
Persistent link: https://www.econbiz.de/10009754004
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Local linear GMM estimation of functional coefficient IV model with an application to estimating the rate od return to schooling
Su, Liangjun; Murtazashvili, Irina; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 184-207
Persistent link: https://www.econbiz.de/10009754005
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Sieve estimation of time-varying panel data models with latent structures
Su, Liangjun; Wang, Xia; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 334-349
Persistent link: https://www.econbiz.de/10012177362
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Estimation and inference on time-varying favar models
Fu, Zhonghao; Su, Liangjun; Wang, Xia - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 533-547
Persistent link: https://www.econbiz.de/10015053425