| A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data C Liu, CY Tang Journal of Econometrics 180 (2), 217-232, 2014 | 27 | 2014 |
| Testing against constant factor loading matrix with large panel high-frequency data XB Kong, C Liu Journal of econometrics 204 (2), 301-319, 2018 | 17 | 2018 |
| Optimal covariance matrix estimation for high-dimensional noise in high-frequency data J Chang, Q Hu, C Liu, CY Tang Journal of Econometrics, 105329, 2022 | 11 | 2022 |
| Discrepancy between global and local principal component analysis on large-panel high-frequency data XB Kong, JG Lin, C Liu, GY Liu Journal of the American Statistical Association 118 (542), 1333-1344, 2023 | 10 | 2023 |
| A simple and trustworthy asymptotic t test in difference-in-differences regressions C Liu, Y Sun Journal of econometrics 210 (2), 327-362, 2019 | 10 | 2019 |
| A state space model approach to integrated covariance matrix estimation with high frequency data C Liu, CY Tang Statistics and Its Interface 6 (4), 463, 2013 | 4 | 2013 |
| Dynamic covariance matrix estimation and portfolio analysis with high-frequency data B Jiang, C Liu, CY Tang Journal of Financial Econometrics 22 (2), 461-491, 2024 | 3 | 2024 |
| Design-free estimation of integrated covariance matrices for high-frequency data C Liu, M Wang, N Xia Journal of Multivariate Analysis 189, 104910, 2022 | 2 | 2022 |
| 高频数据下积分波动率矩阵的伪似然估计, 预测及应用 刘成， 罗金斗， 罗知 数量经济技术经济研究, 2022 | | 2022 |
Cheng Yong Tang (汤琤咏)Professor of Statistics, Temple UniversityVerified email at temple.edu
