Lingzhou Xue

Pennsylvania State University - Department of Statistics

326 Thomas Building

University Park, PA 16802

United States

SCHOLARLY PAPERS

4

DOWNLOADS

860

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Sufficient Forecasting Using Factor Models

Number of pages: 32 Posted: 20 May 2015
Jianqing Fan, Lingzhou Xue and Jiawei Yao
Princeton University - Bendheim Center for Finance, Pennsylvania State University - Department of Statistics and Princeton University
Downloads 598 (54,243)
Citation 6

Abstract:

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Regression, forecast, deep learning, approximate factor model, principal components, learning indices, sliced inverse regression, dimension reduction.

2.

Using a Hidden Markov Model to Measure Earnings Quality

Journal of Accounting and Economics, Forthcoming
Number of pages: 57 Posted: 08 May 2018 Last Revised: 22 Dec 2019
Kai Du, Steven J. Huddart, Lingzhou Xue and Yifan Zhang
Pennsylvania State University, Pennsylvania State University, University Park - Department of Accounting, Pennsylvania State University - Department of Statistics and Pennsylvania State University - Department of Marketing
Downloads 219 (167,221)

Abstract:

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Hidden Markov model; Bayesian hierarchical framework; MCMC methods; Earnings quality; Earnings fidelity

3.

Inverse Moment Methods for Sufficient Forecasting Using High-Dimensional Predictors

Number of pages: 21 Posted: 01 May 2017
Wei Luo, Lingzhou Xue and Jiawei Yao
City University of New York (CUNY) - Paul H. Chook Department of Information Systems & Statistics, Pennsylvania State University - Department of Statistics and Princeton University
Downloads 29 (556,874)
Citation 1

Abstract:

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factor model; forecasting; inverse moments; learning indices; principal components; regression; sufficient dimension reduction

4.

Innovated Power Enhancement for Testing Multi-factor Asset Pricing Models

Number of pages: 24 Posted: 08 Apr 2021
Xiufan Yu, Jiawei Yao and Lingzhou Xue
Pennsylvania State University - Department of Statistics, Princeton University and Pennsylvania State University - Department of Statistics
Downloads 14 (656,217)

Abstract:

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high-dimensional hypothesis testing; multi-factor pricing model; sparse alter-natives; Fisher’s method; power enhancement.