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Improved inference for fund alphas using high-dimensional cross-sectional tests
Cheng, Tingting; Yan, Cheng; Yan, Yayi - In: Journal of empirical finance 61 (2021), pp. 57-81
Persistent link: https://www.econbiz.de/10012693236
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In search of the optimal number of fund subgroups
Yan, Cheng; Cheng, Tingting - In: Journal of empirical finance 50 (2019), pp. 78-92
Persistent link: https://www.econbiz.de/10012169933
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Evaluating the size of the bootstrap method for fund performance evaluation
Cheng, Tingting; Yan, Cheng - In: Economics letters 156 (2017), pp. 36-41
Persistent link: https://www.econbiz.de/10011822349
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De facto time-varying indices-based benchmarks for mutual fund returns
Cheng, Tingting; Yan, Cheng; Yan, Yayi - In: The journal of financial research : the journal of the … 46 (2023) 2, pp. 469-496
Persistent link: https://www.econbiz.de/10014302383
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A new class of bivariate threshold cointegration models
Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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Quantile unit root inference for panel data with common shocks
Yang, Jisheng; Wei, Jinbao; Cai, Biqing - In: Economics letters 219 (2022), pp. 1-4
Persistent link: https://www.econbiz.de/10013470951
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Functional coefficient time series models with trending regressors
Cheng, Tingting - In: Econometric reviews 38 (2019) 6, pp. 636-659
Persistent link: https://www.econbiz.de/10012181342
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Factor-augmented forecasting regressions with threshold effects
Yan, Yayi; Cheng, Tingting - In: The econometrics journal 25 (2022) 1, pp. 134-154
Persistent link: https://www.econbiz.de/10012878901
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Nonparametric predictive regressions for stock return brediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019
Persistent link: https://www.econbiz.de/10012698837
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A frequentist approach to Bayesian asymptotics
Cheng, Tingting; Gao, Jiti; Phillips, Peter C. B. - In: Journal of econometrics 206 (2018) 2, pp. 359-378
Persistent link: https://www.econbiz.de/10012110394