Research

Research Interests

High-dimensional factor models, Time series analysis, Empirical asset pricing

Publications

Avoiding jumps in the rotation matrix of time-varying factor models

Cheung, Y.L. (2024). "Avoiding jumps in the rotation matrix of time-varying factor models" Finance Research Letters, 105869.

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.

Identification of matrix-valued factor models

Cheung, Y.L. (2024). "Identification of matrix-valued factor models" Economics Bulletin, 44(2), 550-556.

This note considers two sets of identification restrictions that help exactly identify the matrix-valued factor model.

Institutions, international financial integration, and output growth

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.

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.

Identification of time-varying factor models

Cheung, Y.L. (2024). "Identification of time-varying factor models" Journal of Business & Economic Statistics, 42(1), 76-49.

This paper considers the situation under which both the factors and the loadings of TVFM can be consistently estimated without rotations.

Long memory factor model: On estimation of factor memories

Cheung, Y.L. (2022). "Long memory factor model: On estimation of factor memories" Journal of Business & Economic Statistics, 40(2), 756-769.

This paper considers the estimation of the integration orders of the latent factors in an approximate factor model.

Nonstationarity-extended Whittle estimation with discontinuity: A correction

Cheung, Y.L. (2020). "Nonstationarity-extended Whittle estimation with discontinuity: A correction" Economics Letters, 187.

The objective functions of two nonstationarity-extended Whittle estimators are found to be discontinuous. This letter provides a simple solution to the problem.

Whittle-type estimation under long memory and nonstationarity

Cheung, Y.L. & U. Hassler (2020). "Whittle-type estimation under long memory and nonstationarity." AStA Advances in Statistical Analysis, 104, 363-383.

We consider six variants of (local) Whittle estimators of the fractional order of integration d.

Working Papers

Fixed-T estimation of the matrix-valued factor models

This paper considers the estimation of the matrix-valued factor model under a fixed-T scenario.

Idiosyncratic volatility factor and macroeconomic risks

(with Yangming BAO)

This paper develops an econometric framework to estimate the common factors among IVol and studies its interplay with macroeconomic uncertainty.

Sieve estimation of time-varying factor loadings: Estimating the conditional CAPM

This paper introduces a high-dimensional factor model with time-varying factor loadings.