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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
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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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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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Semiparametric estimator of time series conditional variance
Mishra, Santosh; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 256-274
Persistent link: https://www.econbiz.de/10008736224
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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Robustify financial time series forecasting with bagging
Jin, Sainan; Su, Liangjun; Ullah, Aman - In: Econometric reviews 33 (2014) 5/6, pp. 575-605
Persistent link: https://www.econbiz.de/10010360787
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A one-covariate-at-a-time multiple testing approach to variable selection in additive models
Su, Liangjun; Yang, Thomas Tao; Zhang, Yonghui; Zhou, … - In: Econometric reviews 43 (2024) 9, pp. 671-712
Persistent link: https://www.econbiz.de/10015050636