Analysis of least absolute deviation

By Kani Chen, Zhiliang Ying, Hong Zhang, Lincheng Zhao. 2008

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Financial Network Systemic Risk Contributions (2015, methodology): “This is described in detail in the Appendix above (A9) (compare Chen et al., 2008). For all tests below, we generally consider effects significant if p-values are below 10%. We define a company as systemically relevant if an increase in its potential loss position, given economic state variables and”
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (2015, methodology): “…was originally proposed by Jin, Ying, and Wei (2001) and provides a way to do statistical inference when the covariance matrix of the estimator cannot be estimated by the conventional methods, see, for example, Chen et al. (2008), Chen et al. (2010), and Zhu and Li (2015) for more discussions.”