Liang Peng

Finance · with Chen · 2000–2013

A researcher in the Science corpus: 19 papers; trusts 38 researchers and is trusted by 58 researchers here, as inferred from the citation graph.

Subfields

• Finance — 70 citations into it; #660 of 10,518 by trust here, #865 by citations
• Economics and Econometrics — 58 citations into it; #3,077 of 23,481 by trust here, #2,722 by citations
• Statistics and Probability — 40 citations into it; #1,704 of 12,932 by trust here, #2,693 by citations
• Accounting — 21 citations into it
• Management Science and Operations Research — 12 citations into it
• Global and Planetary Change — 8 citations into it; #530 of 10,225 by trust here, #1,636 by citations

Whom Liang Peng trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Art B. Owen
2. Jón Dańıelsson
3. Z. Bai
4. Stuart Coles
5. Peter Hall
6. M. Hashem
7. Robert F. Engle
8. Laurens de Haan
9. Songxi Chen
10. Hanno Lustig

Who trusts Liang Peng overall

1. S. Ling
2. Jan Beirlant
3. Christian Francq
4. Guodong Li
5. K. Zhu
6. Sangyeol Lee
7. Nora Muler
8. Oliver B. Linton
9. Liudas Giraitis
10. Frederico Caeiro

Papers from Liang Peng's perspective

Ordered by how strongly the researchers Liang Peng trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. An Introduction to Statistical Modeling of Extreme Values
3. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
4. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
5. Bounds on coverage probabilities of the empirical likelihood ratio confidence regions
6. Local polynomial modelling and its applications
7. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
8. Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
9. A two-sample test for high-dimensional data with applications to gene-set testing
10. An Introduction to Multivariate Statistical Analysis

Their papers

• Least absolute deviations estimation for ARCH and GARCH models (2003) — 198 citations
• Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2000) — 526 citations
• A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability (2000) — 175 citations
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution (2008) — 57 citations
• Empirical likelihood confidence regions for comparison distributions and roc curves (2003) — 80 citations
• Effects of data dimension on empirical likelihood (2009) — 108 citations
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008) — 70 citations
• Estimating the First‐ and Second‐Order Parameters of a Heavy‐Tailed Distribution (2004) — 46 citations
• Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes (2002) — 98 citations
• Jackknife Empirical Likelihood Test for Equality of Two High Dimensional Means (2013) — 50 citations
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (2007) — 106 citations
• The Subprime Crisis and House Price Appreciation (2011) — 143 citations
• House Prices and Economic Growth (2011) — 136 citations
• Price-volume Correlation in the Housing Market: Causality and Co-movements (2010) — 136 citations
• STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS (2009) — 51 citations
• Conditional variance estimation in heteroscedastic regression models (2009) — 50 citations
• Estimating the tail dependence function of an elliptical distribution (2007) — 53 citations
• Estimating the mean of a heavy tailed distribution (2001) — 76 citations
• Confidence intervals for the tail index (2001) — 56 citations