English | 繁體

Search in the results

UM

Browse/Search Results:  1-2 of 2 Help

Selected(0)Clear Items/Page:    Sort:
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 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