49 citations · 78 across the 17 of their papers we have counts for
4 papers · 1 filter
High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
Yi Ding, Xinghua Zheng
We study the estimation of the high-dimensional covariance matrix andits eigenvalues under dynamic volatility models. Data under such modelshave nonlinear dependency both cross-sec…
Testing High-dimensional Covariance Matrices under the Elliptical Distribution and Beyond
Xinxin Yang, Xinghua Zheng, Jiaqi Chen
We develop tests for high-dimensional covariance matrices under a generalized elliptical model. Our tests are based on a central limit theorem (CLT) for linear spectral statistics…
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
Ningning Xia, Xinghua Zheng
In practice, observations are often contaminated by noise, making the resulting sample covariance matrix a signal-plus-noise sample covariance matrix. Aiming to make inferences abo…
On the inference about the spectra of high-dimensional covariance matrix based on noisy observations-with applications to integrated covolatility matrix inference in the presence of microstructure noise
Ningning Xia, Xinghua Zheng
In practice, observations are often contaminated by noise, making the resulting sample covariance matrix to be an information-plus-noise-type covariance matrix. Aiming to make infe…