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Unified LASSO Estimation by Least Squares Approximation

Wang, Hansheng; Leng, Chenlei - In: Journal of the American Statistical Association 102 (2007) September, pp. 1039-1048

Persistent link: https://www.econbiz.de/10005238767

A note on iterative marginal optimization: a simple algorithm for maximum rank correlation estimation

Wang, Hansheng - In: Computational Statistics & Data Analysis 51 (2007) 6, pp. 2803-2812

Persistent link: https://www.econbiz.de/10005154292

A Bayesian information criterion for portfolio selection

Lan, Wei; Wang, Hansheng; Tsai, Chih-Ling - In: Computational Statistics & Data Analysis 56 (2012) 1, pp. 88-99

The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversification than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to...

Persistent link: https://www.econbiz.de/10009274845

Theory and Methods - Sample Correlation Coefficients Based on Survey Data Under Regression Imputation

Shao, Jun; Wang, Hansheng - In: Journal of the American Statistical Association : JASA 97 (2002) 458, pp. 544-552

Persistent link: https://www.econbiz.de/10006616698

Empirical Likelihood in Missing Data Problems

Wang, Hansheng - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1492-1504

Persistent link: https://www.econbiz.de/10008376197

Shrinkage Estimation of the Varying Coefficient Model

Wang, Hansheng; Xia, Yingcun - In: Journal of the American Statistical Association : JASA 104 (2009) 486, pp. 747-757

Persistent link: https://www.econbiz.de/10008263759

Tail Index Regression

Wang, Hansheng; Tsai, Chih-Ling - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1233-1240

Persistent link: https://www.econbiz.de/10008328371

Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

Tsai, Chih-Ling; Wang, Hansheng; Zhu, Ning - In: Annals of the Institute of Statistical Mathematics : AISM 62 (2009) 1, pp. 109-117

Persistent link: https://www.econbiz.de/10008345455

Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso

Wang, Hansheng; Li, Guodong; Jiang, Guohua - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 3, pp. 347-355

Persistent link: https://www.econbiz.de/10008221706

Estimating GARCH models: when to use what?

Huang, Da; Wang, Hansheng; Yao, Qiwei - In: The econometrics journal 11 (2008) 1, pp. 27-38

Persistent link: https://www.econbiz.de/10007916434