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| High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation Journal article
DING YI, ZHENG, Xinghua. High dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation[J]. The Annals of Statistics, 2024, 52, 1027–1049.
Authors: DING YI ; ZHENG, Xinghua
 Adobe PDF |  Favorite | | Submit date：2024/08/23
High-dimension Dynamic Volatility Model Sample Covariance Matrix Spectral Distribution Nonlinear Shrinkage |
| High-dimensional stochastic discount factor learning Presentation
报告日期: 2024-08-01
Authors: DING YI
 Favorite | | Submit date：2024/08/25 |
| High-dimensional covariance matrix estimation under elliptical factor model with 2 + εth moment Conference paper
DING YI. High-dimensional covariance matrix estimation under elliptical factor model with 2 + εth moment[C], 2024.
Authors: DING YI
Favorite | | Submit date：2024/08/25 |
| Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment Presentation
报告日期: 2024-06-01
Authors: DING YI; Xinghua Zheng
Favorite | | Submit date：2024/08/25 |
| HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION Journal article
DING YI, Xinghua Zheng. HIGH-DIMENSIONAL COVARIANCE MATRICES UNDER DYNAMIC VOLATILITY MODELS: ASYMPTOTICS AND SHRINKAGE ESTIMATION[J]. Annals of Statistics, 2024, 52(3), 1027-1049.
Authors: DING YI; Xinghua Zheng
Favorite | TC[WOS]:0 TC[Scopus]:1 IF:3.2/4.8 | Submit date：2024/06/17
Dynamic Volatility Model High-dimension Nonlinear Shrinkage Sample Covariance Matrix Spectral Distribution |
| Factor modeling for volatility Presentation
会议地点: 2023 SIAM Financial Mathematics and Engineering (SIAM/FM23), Philadelphia, US, 会议日期: 2023-06, 报告日期: 2023-06-01
Authors: Ding Y(丁一)
Favorite | | Submit date：2023/08/22 |
| High Dimensional Covariance Matrices under Dynamic Volatility Models: Asymptotics and Shrinkage Estimation Presentation
会议地点: 14th annual meeting of the Society for Financial Econometrics (SoFiE 2023), Seoul, 会议日期: 2023-06, 报告日期: 2023-06-01
Authors: Ding Y(丁一)
Favorite | | Submit date：2023/08/22 |
| Stock Co-Jump Networks Presentation
会议地点: 2023 International Chinese Statistical Association (ICSA) China (ICSA2023), 报告日期: 2023-06-01
Authors: Ding Y(丁一)
Favorite | | Submit date：2023/08/22 |
| A Peek into Risk with Financial Big Data Presentation
会议地点: Northwestern University, 会议日期: 2023-05, 报告日期: 2023-05-01
Authors: Ding Y(丁一)
Favorite | | Submit date：2023/08/22 |
| Stock co-jump networks Journal article
Yi Ding, Yingying Li, Guoli Liu, Xinghua Zheng. Stock co-jump networks[J]. Journal of Econometrics, 2023, 239(2), 105420.
Authors: Yi Ding; Yingying Li; Guoli Liu; Xinghua Zheng
Favorite | TC[WOS]:6 TC[Scopus]:7 IF:9.9/6.7 | Submit date：2023/08/03
Co-jumps Community Detection High-frequency Data Jumps Network Stock Dependence |
