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.
- Ph.D. in Statistics, National University of Singapore, 2013.
- B.Sc. in Statistics, Wuhan University, 2009.
- Financial Econometrics;
- Big Data Analysis;
- Analysis of Missing Data.
- Causal Inference
- 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.
- 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.