14 citations · 29 across the 5 of their papers we have counts for
5 papers
Improving Estimation of Portfolio Risk Using New Statistical Factors
Xialu Liu, John Guerard, Rong Chen +1
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometric…
Factor Analysis for High-Dimensional Time Series with Change Point
Xialu Liu, Ting Zhang
We consider change-point latent factor models for high-dimensional time series, where a structural break may exist in the underlying factor structure. In particular, we propose con…
Helping Effects Against Curse of Dimensionality in Threshold Factor Models for Matrix Time Series
Xialu Liu, Elynn Chen
As is known, factor analysis is a popular method to reduce dimension for high-dimensional data. For matrix data, the dimension reduction can be more effectively achieved through bo…
Threshold factor models for high-dimensional time series
Xialu Liu, Rong Chen
We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value…
Factor Models for Matrix-Valued High-Dimensional Time Series
Dong Wang, Xialu Liu, Rong Chen
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries o…