Yukun Liu

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20222026

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econ.EM2025

Higher-Order Asset Pricing Factors via Forward Selection Fama-MacBeth Regression

Nicola Borri, Denis Chetverikov, Yukun Liu +1

We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with…

econ.EM2022

Weighted-average quantile regression

Denis Chetverikov, Yukun Liu, Aleh Tsyvinski

In this paper, we introduce the weighted-average quantile regression framework, $\int_{0}^{1} q_{Y ∣ X} (u) ψ (u) d u = X^{'} β$ , where $Y$ is a dependent variable, $X$ is a vector of covariates,…