Subject: Econometrics

FAST ID: 901574 | WorldCat Record

College

Department

Sort By

Academic Publications

The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement

Management Science, 2026, journal article

Management Science (2026)

SJR: 6.4280
H-index: 321
Publisher: INFORMS Inst.for Operations Res.and the Management Sciences
ISSN: 00251909, 15265501
Coverage: 1965-1966, 1968-2025

Journal quartile details
Discipline	Overall Quartile
Not reported	Q1

A discipline-specific ranking was unavailable; the title-level overall quartile is shown.

Finance Department GREW Fellow

Econometrics Interest rates Investment analysis Portfolio management

Identification and estimation of threshold matrix‐variate factor models

Xialu Liu; Elynn Y. Chen

Scandinavian Journal of Statistics, 2022, journal article

Scandinavian Journal of Statistics (2022)

SJR: 0.7860
H-index: 75
Publisher: Wiley-Blackwell Publishing Ltd
ISSN: 14679469, 03036898
Coverage: 1996-2026

Journal quartile details
Discipline	Overall Quartile
Not reported	Q2

A discipline-specific ranking was unavailable; the title-level overall quartile is shown.

Cited by 17
Management Information Systems GREW Fellow

Econometrics Multivariate analysis Statistics

What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments

Liang Ma; ILAN COOPER; PAULO MAIO

Journal of Money, Credit and Banking, 2022, journal article

Journal of Money, Credit and Banking (2022)

SJR: 1.9990
H-index: 133
Publisher: Wiley-Blackwell
ISSN: 15384616, 00222879
Coverage: 1996-2026

Journal quartile details
Discipline	Overall Quartile
Not reported	Q1

A discipline-specific ranking was unavailable; the title-level overall quartile is shown.

Cited by 22
Finance Department GREW Fellow

Econometrics Economics Finance

Threshold factor models for high-dimensional time series

Journal of Econometrics, 2020, journal article

Journal of Econometrics (2020)

SJR: 6.5750
H-index: 205
Publisher: Elsevier B.V.
ISSN: 03044076, 18726895
Coverage: 1973-2026

Journal quartile details
Discipline	Overall Quartile
Not reported	Q1

A discipline-specific ranking was unavailable; the title-level overall quartile is shown.

Cited by 34
Management Information Systems GREW Fellow

Econometrics Finance Statistics Time-series analysis

Regime-switching factor models for high-dimensional time series

Statistica Sinica, 2016, journal article

Statistica Sinica (2016)

SJR: 1.0310
H-index: 93
Publisher: Institute of Statistical Science
ISSN: 10170405
Coverage: 1996-2024

Journal quartile details
Discipline	Overall Quartile
Not reported	Q1

A discipline-specific ranking was unavailable; the title-level overall quartile is shown.

Cited by 21
Management Information Systems GREW Fellow

Econometrics Factor analysis Machine learning Time-series analysis