Papers in (Financial) Econometrics by Qiwei Yao
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A power one test for unit roots based on sample autocovariances.
(With J. Chang and Q. Cheng.)
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Estimation for double-nonlinear cointegration.
(With Y. Lin and Y. Tu.)
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On testing a high-dimensional white noise.
(With Z. Li, J. Yao and C. Lam.)
Annals of Statistics, to appear.
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Error-correction factor models.
(With Y. Tu and R. Zhang.)
Statistica Sinica, to appear.
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Identifying Cointegration by Eigenanalysis.
(R code)
(with R. Zhang and P. Robinson.)
Journal of American Statistical Association, 2019, 114, 916-927.
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Banded spatio-temporal autoregressions.
(With Z. Gao, Y. Ma and H. Wang.)
Journal of Econometrics, 2019, 208, 211-230.
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Confidence Regions for Entries of a Large Precision Matrix
(With J. Chang, Y Qiu. and T. Zou).
Journal of Econometrics, 2018, 206, 57-82.
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Testing for high-dimensional white noise using maximum cross correlations.
(With J. Chang and W. Zhou.)
Biometrika., 2017, 104, 111-127.
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Generalized Yule-Walker Estimation for Spatio-Temporal Models with
Unknown Diagonal Coefficients.
(with B. Dou and M.L. Parrella.)
Journal of Econometrics, 2016, 194, 369-382.
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Modelling multivariate volatilities
via latent common factors.
(with W. Li, Gao, J. and K Li.)
Journal of Business & Economic Statistics, 2016, 34, 564-573.
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Estimation for Dynamic and Static Panel Probit Models with Large
Individual Effects.
(with W. Gao and W Bergsma.)
Accepted by Journal of Time Series Analysis.
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High Dimensional Stochastic Regression with Latent Factors,
Endogeneity and Nonlinearity.
(with J. Chang and B. Guo.)
Journal of Econometrics, 2015, 189, 297-312.
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Matching a distribution by matching quantiles estimation.
(R-codes)
(with N. Sgouropoulos and C. Yastremiz.)
J. Ameri. Stats. Assoc. 2015, 110, 742-759.
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Estimation of extreme quantiles for functions of dependent
random variables.
(R-codes)
(with J. Gong, Y. Li and L. Peng.)
J. Royal. Statist. Soc., B. 2015, 77, 1001-1024.
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Estimation in the Presence of Many Nuisance Parameters:
composite likelihood and plug-in likelihood.
(with B. Wu and S. Zhu.) Stochastic Processes and their Applications, 2013, 123, 2877-2898.
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Large volatility matrix inference via combining low-frequency and high-frequency
approaches
(With M Tao, Y Wang and J Zou.)
J. Ameri. Statist. Assoc., 2011, 106, 1025-1040.
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Nonparametric transfer function models.
(With J.M.Liu and R.Chen.) Journal of Econometircs, 2010, 157, 151-164.
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Approximating volatilities by asymmetric
power GARCH functions. (With J.Penzer and M.Wang.) Austrialia New
Zealand J Statist., 2009, 51, 201-225.
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On determination of cointegration ranks
(With Q.Li and J.Pan.)
Statistics and Its Interface, 2009, 2, 45-56.
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Modelling multivariate volatilities
via conditionally uncorrelated components.
(With J.Fan and M.Wang.)
J. Roy. Statist. Soc. B, 2008, 70, 679-702.
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Testing for multivariate volatility functions.
(With W.Polonik.) Joural of Econometrics, 2008, 147, 151-162.
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Estimating GARCH models: when to use what?
(With D.Huang and H.Wang.) Econometrics Journal, 2008, 11, 27-38.
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Weighted least absolute deviations estimation for
ARMA models with infinite variance
(With J.Pan and H. Wang)
Econometric Theory, 2007, 23, 852-879.
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Modelling multivariate volatilities: an ad hoc
approach.
(With M.Wang)
In Contemporary Multivariate Analysis and
Experimental Designs -- In Celebration of Professor Kai-Tai Fang's
65th Brithday, J. Fan & G. Li
(edit.), 2005, 87-97. World Scientific, Singapore.
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Least absolute deviations estimation for ARCH and
GARCH models. (With L.Peng)
Biometrika. 2003, 90, 967-975.
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Inference in ARCH and GARCH models. (With P. Hall)
Econometrica.
2003, 71, 285-317.
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Efficient estimation of conditional
variance functions in stochastic regression.
(With J. Fan)
Biometrika, 1998, 85, 645-60.
Last update: 2 September 2019
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