Papers in (Financial) Econometrics by Qiwei Yao



• A power one test for unit roots based on sample autocovariances. (With J. Chang and Q. Cheng.)

• Estimation for double-nonlinear cointegration. (With Y. Lin and Y. Tu.)

• On testing a high-dimensional white noise. (With Z. Li, J. Yao and C. Lam.) Annals of Statistics, to appear.

• Error-correction factor models. (With Y. Tu and R. Zhang.) Statistica Sinica, to appear.

• Identifying Cointegration by Eigenanalysis. (R code) (with R. Zhang and P. Robinson.) Journal of American Statistical Association, 2019, 114, 916-927.

• Banded spatio-temporal autoregressions. (With Z. Gao, Y. Ma and H. Wang.) Journal of Econometrics, 2019, 208, 211-230.

• Confidence Regions for Entries of a Large Precision Matrix (With J. Chang, Y Qiu. and T. Zou). Journal of Econometrics, 2018, 206, 57-82.

• Testing for high-dimensional white noise using maximum cross correlations. (With J. Chang and W. Zhou.) Biometrika., 2017, 104, 111-127.

• 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.

• Modelling multivariate volatilities via latent common factors. (with W. Li, Gao, J. and K Li.) Journal of Business & Economic Statistics, 2016, 34, 564-573.

• 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.

• High Dimensional Stochastic Regression with Latent Factors, Endogeneity and Nonlinearity. (with J. Chang and B. Guo.) Journal of Econometrics, 2015, 189, 297-312.

• Matching a distribution by matching quantiles estimation. (R-codes) (with N. Sgouropoulos and C. Yastremiz.) J. Ameri. Stats. Assoc. 2015, 110, 742-759.

• 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.

• 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.

• 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.

• Nonparametric transfer function models. (With J.M.Liu and R.Chen.) Journal of Econometircs, 2010, 157, 151-164.

• Approximating volatilities by asymmetric power GARCH functions. (With J.Penzer and M.Wang.) Austrialia New Zealand J Statist., 2009, 51, 201-225.

• On determination of cointegration ranks (With Q.Li and J.Pan.) Statistics and Its Interface, 2009, 2, 45-56.

• Modelling multivariate volatilities via conditionally uncorrelated components. (With J.Fan and M.Wang.) J. Roy. Statist. Soc. B, 2008, 70, 679-702.

• Testing for multivariate volatility functions. (With W.Polonik.) Joural of Econometrics, 2008, 147, 151-162.

• Estimating GARCH models: when to use what? (With D.Huang and H.Wang.) Econometrics Journal, 2008, 11, 27-38.

• Weighted least absolute deviations estimation for ARMA models with infinite variance (With J.Pan and H. Wang) Econometric Theory, 2007, 23, 852-879.

• 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.

• Least absolute deviations estimation for ARCH and GARCH models. (With L.Peng) Biometrika. 2003, 90, 967-975.

• Inference in ARCH and GARCH models. (With P. Hall) Econometrica. 2003, 71, 285-317.

• Efficient estimation of conditional variance functions in stochastic regression. (With J. Fan) Biometrika, 1998, 85, 645-60.

  
  

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