Faculty

Institution

Unit

Venue

Xiaohong Chen

Malcolm K Brachman Professor of Economics Professor of Management

Yale University

Affiliations

Economics

Statistics & Data Science

Xiaohong Chen is currently serving as an Economics Malcolm K Brachman Professor of Economics Professor of Management at Yale University.

Honors

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Experiences

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Education

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Xiaohong Chen

Yale University

Malcolm K Brachman Professor of Economics Professor of Management

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econometrics statistics economics estimation theory financial econometrics data science efficient estimation finance econodynamics time series statistical inference statistical methodology mathematical finance financial economics empirical finance econometric models applied statistics asset pricing economic research semi-nonparametric estimation bibliometrics information theory nonlinear models bid-ask spread applied economics economic analysis econometric methods state estimation parameter identification parameter estimation unknown functions semiparametric models auxiliary data asymptotic normality semiparametric efficiency gmm models regression models nonparametric identification extended roll models conditional moment restrictions economic modelling mathematical optimization social science research international financial markets estimation statistic high-dimensional method psychometrics behavioral finance statistical averaging treatment effects measurement theory multivariate analysis bond markets option pricing model comparison moment properties stochastic volatility models semi-nonparametric iv estimation nonlinear time series sieve estimation

Notable Scholarly Works

Notable Federal Grants

Collaborators

A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity. Journal of Time Series Analysis (2024)

Yaolan MaXiaohong ChenLiang PengRongmao Zhang

serial cross-correlation testmodel comparisonstatisticsactuarial sciencetime series

Improved Estimation of Semiparametric Dynamic Copula Models With Filtered Nonstationarity. Journal of Econometrics (2024)

Xiaohong ChenBo WangZhijie XiaoYanping Yi

filtered nonstationaritystatisticseconometrics

Inference on Time Series Nonparametric Conditional Moment Restrictions Using Nonlinear Sieves. Journal of Econometrics (2024)

Xiaohong ChenYuan LiaoWeichen Wang

econometric modelsnonlinear sieveseconometrics

Information Bounds for Gaussian Copula Parameter in Stationary Semiparametric Markov Models. Statistics & Probability Letters (2024)

Xiaohong ChenYanping Yi

gaussian copula parameterstatistical methodologystatistical theoryinformation boundsinformation theoryprobability theorystatistical inferencestatisticsstatistical models

Limits to Arbitrage and the Term Structure of Cip Violations. Journal of International Financial Markets Institutions and Money (2024)

Paul WohlfarthXiaohong Chen

cip violationsterm structureinternational financial marketsinternational financefinance

Robust Inference for Moment Condition Models Without Rational Expectations. Journal of Econometrics (2024)

Xiaohong ChenLars Peter HansenPeter G. Hansen

rational expectationsmoment condition modelseconometricseconomicsrobust inference

Causal Inference of General Treatment Effects Using Neural Networks With a Diverging Number of Confounders. Journal of Econometrics (2023)

Xiaohong ChenYing LiuShujie MaZheng Zhang

causal inferencegeneral treatment effectseconometricsneural networksstatistics

Efficient Estimation of Average Derivatives in Npiv Models: Simulation Comparisons of Neural Network Estimators. Journal of Econometrics (2023)

Jiafeng ChenXiaohong ChenElie Tamer

simulation comparisonsestimation theorynpiv modelsneural network estimatorseconometricsefficient estimationaverage derivativesempirical financefinancial econometricsdata sciencemathematical finance

Mcmc Confidence Sets for Identified Sets. (2023)

Xiaohong ChenElie TamerTimothy ChristensenKeith O'Hara

time seriesmcmc confidence setsstatistics

SGMM: Stochastic Approximation to Generalized Method of Moments. Journal of Financial Econometrics (2023)

Xiaohong ChenSokbae LeeYuan LiaoMyung Hwan SeoYoungki ShinMyunghyun Song

econometricsstochastic approximationempirical financefinancial econometricsfinancemathematical finance

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Xiaohong Chen

Malcolm K Brachman Professor of Economics Professor of Management

Yale University

Affiliations

Economics

Statistics & Data Science

Xiaohong Chen is currently serving as an Economics Malcolm K Brachman Professor of Economics Professor of Management at Yale University.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Xiaohong Chen

Yale University

Malcolm K Brachman Professor of Economics Professor of Management

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity. Journal of Time Series Analysis (2024)

Yaolan MaXiaohong ChenLiang PengRongmao Zhang

serial cross-correlation testmodel comparisonstatisticsactuarial sciencetime series

Improved Estimation of Semiparametric Dynamic Copula Models With Filtered Nonstationarity. Journal of Econometrics (2024)

Xiaohong ChenBo WangZhijie XiaoYanping Yi

filtered nonstationaritystatisticseconometrics

Inference on Time Series Nonparametric Conditional Moment Restrictions Using Nonlinear Sieves. Journal of Econometrics (2024)

Xiaohong ChenYuan LiaoWeichen Wang

econometric modelsnonlinear sieveseconometrics

Information Bounds for Gaussian Copula Parameter in Stationary Semiparametric Markov Models. Statistics & Probability Letters (2024)

Xiaohong ChenYanping Yi

gaussian copula parameterstatistical methodologystatistical theoryinformation boundsinformation theoryprobability theorystatistical inferencestatisticsstatistical models

Limits to Arbitrage and the Term Structure of Cip Violations. Journal of International Financial Markets Institutions and Money (2024)

Paul WohlfarthXiaohong Chen

cip violationsterm structureinternational financial marketsinternational financefinance

Robust Inference for Moment Condition Models Without Rational Expectations. Journal of Econometrics (2024)

Xiaohong ChenLars Peter HansenPeter G. Hansen

rational expectationsmoment condition modelseconometricseconomicsrobust inference

Causal Inference of General Treatment Effects Using Neural Networks With a Diverging Number of Confounders. Journal of Econometrics (2023)

Xiaohong ChenYing LiuShujie MaZheng Zhang

causal inferencegeneral treatment effectseconometricsneural networksstatistics

Efficient Estimation of Average Derivatives in Npiv Models: Simulation Comparisons of Neural Network Estimators. Journal of Econometrics (2023)

Jiafeng ChenXiaohong ChenElie Tamer

simulation comparisonsestimation theorynpiv modelsneural network estimatorseconometricsefficient estimationaverage derivativesempirical financefinancial econometricsdata sciencemathematical finance

Mcmc Confidence Sets for Identified Sets. (2023)

Xiaohong ChenElie TamerTimothy ChristensenKeith O'Hara

time seriesmcmc confidence setsstatistics

SGMM: Stochastic Approximation to Generalized Method of Moments. Journal of Financial Econometrics (2023)

Xiaohong ChenSokbae LeeYuan LiaoMyung Hwan SeoYoungki ShinMyunghyun Song

econometricsstochastic approximationempirical financefinancial econometricsfinancemathematical finance

1
2
3
4
5
8
10 / page

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finance

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econometric model

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economic theory

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