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High-dimensional estimation, basis assets, and the adaptive multi-factor model

Zhu, Liao; Basu, Sumanta; Jarrow, Robert A.; Wells, … - In: The quarterly journal of finance 10 (2020) 4, pp. 1-52

Persistent link: https://www.econbiz.de/10012627440

Time-invariance coefficients tests with the adaptive multi-factor model

Zhu, Liao; Jarrow, Robert A.; Wells, Martin T. - In: The quarterly journal of finance 11 (2021) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10013170764

Lassoed boosting and linear prediction in the equities market

Huang, Xiao - In: Econometric reviews 43 (2024) 9, pp. 733-751

Persistent link: https://www.econbiz.de/10015050638

Quasi-maximum likelihood estimation of discretely observed diffusions

Huang, Xiao - In: The econometrics journal 14 (2011) 2, pp. 241-256

Persistent link: https://www.econbiz.de/10009381873

Quasi-maximum likelihood estimation of multivariate diffusions

Huang, Xiao - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10009739597

Nonparametric estimation in large panels with cross-sectional dependence

Huang, Xiao - In: Econometric reviews 32 (2013) 5/6, pp. 754-777

Persistent link: https://www.econbiz.de/10009758623

Local Composite Quantile Regression Smoothing : Flexible Data Structure and Cross-Validation

Huang, Xiao - 2019

In this paper, we study the local composite quantile regression estimator for mixed categorical and continuous data. The local composite quantile estimator is an efficient and safe alternative to the local polynomial method and has been well-studied for continuous covariates. Generalization of...

Persistent link: https://www.econbiz.de/10012899489

Finite sample properties of FGLS estimator for random-effects model under non-normality

Ullah, Aman; Huang, Xiao - In: Panel data econometrics : theoretical contributions and …, (pp. 67-89). 2006

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Local composite quantile regression smoothing : a flexible data structure and cross-validation

Huang, Xiao; Lin, Zhongjian - In: Econometric theory 37 (2021) 3, pp. 613-631

Persistent link: https://www.econbiz.de/10012593451

Local composite quantile regression for regression discontinuity

Huang, Xiao; Zhan, Zhaoguo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1863-1875

Persistent link: https://www.econbiz.de/10013540525