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Dr. Chong Liang

Wissenschaftlicher Angestellter

nach Vereinbarung

Raum: 307 in Geb. 09.21 (Blücherstr.17)
chong liangLmi1∂kit edu


[CV] (Stand 09/2016)

Working Papers

  • Determination of Vector Error Correction Models in High Dimensions (with Melanie Schienle), revised and submitted for Journal of Econometrics, pdf available on request (updated 02/2018)
  • Time-varying Limit Order Book Networks (with Shi Chen, Wolfgang Karl Härdle, Melanie Schienle), submitted (updated 04/2018)
  • Pre-screening and Estimation Techniques for VECM in Ultra-High Dimensions (with Melanie Schienle), submitted

Working in progress:

  • Regularized GARCH Estimation from Limit Order Books in High Dimensions (with Shi Chen, Melanie Schienle)
  • Bootstrapping Lasso Estimator in High Dimensional Regression (with Melanie Schienle)
  • Consistent Estimation of Stationary and Cointegrated VARMA in High Dimensions (with Melanie Schienle)