High-Dimen-sional2026High-Dimensional Multivariate Realized Volatility Forecasting with Community Network StructureSi-Xuan He, Cheng LiuJournal of Business & Economic StatisticsDOI
Discre-pancy2023Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency DataXin-bing Kong, Jinguan Lin, Cheng Liu, Guang-Ying LiuDOI
Design-freeestima-tion2021Design-free estimation of integrated covariance matrices for high-frequency dataCheng Liu, Moming Wang, Ning-Ning XiaJournal of Multivariate AnalysisDOI
Testingagainstconstant2018Testing against constant factor loading matrix with large panel high-frequency dataXin-bing Kong, Cheng LiuJournal of EconometricsDOI
SimpleandTrust-worthy2017Simple and Trustworthy Asymptotic t Tests in Di ¤ erence-inDi ¤ erences RegressionsCheng Liu, Yi-Xiao Sun
ShrinkageEstima-tion2016Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency DataCheng Liu, Ning-Ning Xia, Jun Yu
A statespacemodel2013A state space model approach to integrated covariance matrix estimation with high frequency dataCheng Liu, Cheng Y. TangDOI