Published in AStA Advances in Statistical Analysis, 2019
We consider six variants of (local) Whittle estimators of the fractional order of integration d.
Cheung, Y.L. & U. Hassler (2020). "Whittle-type estimation under long memory and nonstationarity." AStA Advances in Statistical Analysis, 104, 363-383. doi: 10.1007/s10182-019-00358-0
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Published in Economics Letters, 2019
The objective functions of two nonstationarity-extended Whittle estimators are found to be discontinuous. This letter provides a simple solution to the problem.
Cheung, Y.L. (2020). "Nonstationarity-extended Whittle estimation with discontinuity: A correction" Economics Letters, 187. doi: 10.1016/j.econlet.2019.108914
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Published in Journal of Business & Economic Statistics, 2020
This paper considers the estimation of the integration orders of the latent factors in an approximate factor model.
Cheung, Y.L. (2022). "Long memory factor model: On estimation of factor memories" Journal of Business & Economic Statistics, 40(2), 756-769. doi: 10.1080/07350015.2020.1867559
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Published in Journal of Business & Economic Statistics, 2022
This paper considers the situation under which both the factors and the loadings of TVFM can be consistently estimated without rotations.
Cheung, Y.L. (2024). "Identification of time-varying factor models" Journal of Business & Economic Statistics, 42(1), 76-49. doi: 10.1080/07350015.2022.2151449
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Published in Journal of Economic Behavior & Organization, 2024
The paper investigates the long-run output effects of international financial integration, and in particular their dependence on a countrys institutions as proxied by the quality of governance and the level of domestic financial market development.
Binder, M., Y.L. Cheung, G. Georgiadis & S. Sharma (2024). "Institutions, international financial integration, and output growth" Journal of Economic Behavior & Organization, 219, 450-472. doi: 10.1016/j.jebo.2024.01.015
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Published in Economics Bulletin, 2024
This note considers two sets of identification restrictions that help exactly identify the matrix-valued factor model.
Cheung, Y.L. (2024). "Identification of matrix-valued factor models" Economics Bulletin, 44(2), 550-556. doi: --
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Published in Finance Research Letters, 2024
This letter proposes a simple method to avoid the jumps present in the rotation matrix when local PCA is used to estimate a time-varying factor model.
Cheung, Y.L. (2024). "Avoiding jumps in the rotation matrix of time-varying factor models" Finance Research Letters, 105869. doi: 10.1016/j.frl.2024.105869
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Graduate course, GSEFM, Goethe University Frankfurt, 2019
This part of the course, part of the first-year MSQ/Ph.D. Program course sequence at GSEFM, will examine single- and multiple-equation modeling in time series and panels, with a specific focus on so-called autoregressive distributed lag models, vector autoregressions and vector error correction models.
Undergraduate course, ISEM, Capital University of Econimcs and Business, 2019
The course introduces students to econometric methods applied in fiancial economics. In particular, this course focuses on the estimation and inferential methods used in empirical analysis of modern finance theory. Due to the applied emphasis, classes will cover MATLAB and Stata programming to implement the tools discussed in the lectures as well.
Undergraduate course, ISEM, Capital University of Econimcs and Business, 2020
This course introduces the theory and applications of several important stochastic processes. The course mainly includes Markov chains, Poisson process and Brownian motion. Students can also understand how to solve complicated problems using Monte Carlo simulation.
Undergraduate course, ISEM, Capital University of Econimcs and Business, 2021
This course introduces the theory and applications of several important stochastic processes. The course mainly includes Markov chains, Poisson process and Brownian motion.
Undergraduate course, ISEM, Capital University of Econimcs and Business, 2022
This course introduces some basic modeling skills for analyzing financial data like equity returns. It will provide a foundation of basic theory and methodology as well as applied examples with essential statistical and computational techniques to analyzing financial data.
This paper introduces a high-dimensional factor model with time-varying factor loadings.
This paper develops an econometric framework to estimate the common factors among IVol and studies its interplay with macroeconomic uncertainty.
This paper considers the estimation of the matrix-valued factor model under a fixed-T scenario.