I'm Cheng LIU, an Associate Professor in Department of Mathematical Economics and Mathematical Finance, School of Economics and Management, Wuhan University, China. I obtained my Ph.D. degree in Statistics from National University of Singapore under the instruction of Prof. Cheng Yong Tang. 

Education:
  • Ph.D. in Statistics, National University of Singapore, 2013.
          Advisor: Chengyong Tang.
  • B.Sc. in Statistics, Wuhan University, 2009.


Research Interest: 
  • Financial Econometrics;
  • Big Data Analysis;
  • Analysis of Missing Data.
  • Causal Inference


Publications:
  • Kong XB. and Liu, C.(2018). Testing Against Constant Factor Loading Matrix with Large Panel High -Frequency Data  . Journal of Econometrics. 204, 301-319.
  • Liu. C and Tang, C.Y.(2014). A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. Journal of Econometrics. 180, 217-232.
  • Liu. C and Tang, C.Y.(2013). A state space model approach to integrated covariance matrix estimation with high frequency data. Statistics and Its Interface. 6, 463-475.

Working Paper:
  • Liu, C. and Sun, Y. X. (2018). Simple and Trustworthy Asymptotic t Tests in Difference-Differences Regressions.  Revision requested by Journal of Econometrics.
  • Liu. C, Xia, N, and Yu, J. (2018). Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data.​