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Selecting the correct number of factors in approximate factor models : the large panel case with group bridge estimators
Caner, Mehmet; Han, Xu - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 359-374
Persistent link: https://www.econbiz.de/10010488511
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An upper bound for functions of estimators in high dimensions
Caner, Mehmet; Han, Xu - In: Econometric reviews 40 (2021) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012483794
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Adaptive elastic net GMM estimation with many invalid moment conditions : simultaneous model and moment selection
Caner, Mehmet; Han, Xu; Lee, Yoonseok - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 24-46
Persistent link: https://www.econbiz.de/10011894389
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Tests for overidentifying restrictions in Factor-Augmented VAR models
Han, Xu - In: Journal of econometrics 184 (2015) 2, pp. 394-419
Persistent link: https://www.econbiz.de/10011339283
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Shrinkage estimation of factor models with global and group-specific factors
Han, Xu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012424495
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Estimation and inference of dynamic structural factor models with over-identifying restrictions
Han, Xu - In: Journal of econometrics 202 (2018) 2, pp. 125-147
Persistent link: https://www.econbiz.de/10011974557
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Ambiguity aversion and rational herd behaviour
Zhiyong, Dong; Gu, Qingyang; Han, Xu - In: Applied financial economics 20 (2010) 4/6, pp. 331-343
This article reviews the literature on herd behaviour in financial markets in the context of the sequential trading model and points out the importance of incorporating ambiguity into the framework. Although Ford et al. (2005) have applied the Choquet-expected-utility theory to analyse the...
Persistent link: https://www.econbiz.de/10003963159
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Stochastic lattice models for valuation of volatility options
Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
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Test for parameter instability in dynamic factor models
Han, Xu; Inoue, Atsushi - In: Econometric theory 31 (2015) 5, pp. 1117-1152
Persistent link: https://www.econbiz.de/10011545524
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Estimation and inference of change points in high-dimensional factor models
Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100
Persistent link: https://www.econbiz.de/10012483190