University Scholarship
Publications and Grants

Subject: Econometrics

FAST ID: 901574 | WorldCat Record

Academic Publications

The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement
Liang Ma
Management Science, 2026, journal article, Grants Research and Enterprise Writing (GREW) Fellows
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, Grants Research and Enterprise Writing (GREW) Fellows
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, Grants Research and Enterprise Writing (GREW) Fellows
Econometrics Economics Finance
Threshold factor models for high-dimensional time series
Xialu Liu
Journal of Econometrics, 2020, journal article, Grants Research and Enterprise Writing (GREW) Fellows
Econometrics Finance Statistics Time-series analysis
Regime-switching factor models for high-dimensional time series
Xialu Liu
Statistica Sinica, 2016, journal article, Grants Research and Enterprise Writing (GREW) Fellows
Econometrics Factor analysis Machine learning Time-series analysis