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Working Papers by Xu Cheng

Paper Number Author Title
24-013 Xu Cheng, Eric Renault, Paul Sangrey Identifying the Volatility Risk Price Through the Leverage Effect
23-010 Xu Cheng, Alejandro Sanchez-Becerra, Andrew Shephard How to Weight in Moments Matching: A New Approach and Applications to Earnings Dynamics
23-016 Xu Cheng, Frank Schorfheide, Peng Shao Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
20-019 Xu Cheng, Winston Wei Dou, Zhipeng Liao Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
15-017 Xu Cheng, Zhipeng Liao, Ruoyao Shi Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version
14-018 Xu Cheng Uniform Inference in Nonlinear Models with Mixed Identification Strength
13-061 Xu Cheng, Bruce Hansen Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version
13-062 Xu Cheng, Zhipeng Liao Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments, Second Version
12-045 Xu Cheng, Zhipeng Liao Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments
12-046 Xu Cheng, Bruce Hansen Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
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