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Risks of large portfolios
Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng - In: Journal of econometrics 186 (2015) 2, pp. 367-387
Persistent link: https://www.econbiz.de/10011349458
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307