Solving norm constrained portfolio optimization via coordinate-wise descent algorithms YM Yen, TJ Yen
Computational Statistics & Data Analysis 76, 737-759, 2014
68 2014 Bond variance risk premia P Mueller, A Vedolin, Y Yen
Financial Markets Group, The London School of Economics and Political Science, 2012
63 2012 Sparse weighted-norm minimum variance portfolios YM Yen
Review of Finance 20 (3), 1259-1287, 2016
40 2016 A note on sparse minimum variance portfolios and coordinate-wise descent algorithms YM Yen
Available at SSRN, 2010
12 2010 A nonparametric test of a strong leverage hypothesis O Linton, YJ Whang, YM Yen
Journal of Econometrics 194 (1), 153-186, 2016
10 2016 Testing Forecast Accuracy of Expectiles and Quantiles with the Extremal Consistent Loss Functions YM Yen
International Journal of Forecasting, 2016
9 * 2016 Risk evaluations with robust approximate factor models RY Chou, TJ Yen, YM Yen
Journal of Banking & Finance 82, 244-264, 2017
7 2017 Macroeconomic forecasting using approximate factor models with outliers RY Chou, TJ Yen, YM Yen
International Journal of Forecasting 36 (2), 267-291, 2020
3 2020 Testing jumps via false discovery rate control YM Yen
PloS one 8 (4), e58365, 2013
3 2013 Grouped variable selection via nested spike and slab priors TJ Yen, YM Yen
arXiv preprint arXiv:1106.5837, 2011
3 2011 Estimations of the conditional tail average treatment effect LY Chen, YM Yen
arXiv preprint arXiv:2109.08793, 2021
2 2021 The lower regression function and testing expectation dependence dominance hypotheses O Linton, YJ Whang, YM Yen
Econometric Reviews 40 (8), 709-727, 2021
2 2021 Forward-looking information on growth and uncertainty implied by derivative securities: Evidence from an emerging market YM Yen
International Review of Economics & Finance 62, 240-266, 2019
2 2019 Three essays in financial econometrics BD Seo
University of California, Santa Barbara, 2006
2 2006 Doubly Robust Estimation of Direct and Indirect Quantile Treatment Effects with Machine Learning YC Hsu, M Huber, YM Yen
arXiv preprint arXiv:2307.01049, 2023
1 2023 An attention algorithm for solving large scale structured TJ Yen, YM Yen
Japanese Journal of Statistics and Data Science 4 (1), 345-371, 2021
1 2021 Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures RY Chou, TJ Yen, YM Yen
Available at SSRN 3448882, 2019
1 2019 Estimating links of a network from time to event data TJ Yen, ZR Lee, YH Chen, YM Yen, JS Hwang
1 2017 Structured variable selection via prior-induced hierarchical penalty functions TJ Yen, YM Yen
Computational statistics & data analysis 96, 87-103, 2016
1 2016 A nonparametric test of the leverage hypothesis O Linton, YJ Whang, YM Yen
cemmap working paper, 2012
1 2012 