A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Projects

GRF: High Dimensional Time-varying Forecast Combination: A Unified Approach for Abrupt and Smooth Instabilities
CUI, L. & Chen, B.
1/01/23 → …
Project: Research
GRF: Estimation and Inference of Large Dimensional Unobservable Dynamic Uncertainties
CUI, L.
1/01/22 → …
Project: Research
GRF: A Mixed Convex Penalized Machine Learning Approach for High-Dimensional Financial Data with its Application on Vast Portfolio Selections
CUI, L. & WU, X.
1/01/20 → 13/06/24
Project: Research
ECS: A Local Series Estimation Method with its Application in Solving Asset Pricing Models with Time-Varying State Variables
CUI, L.
1/01/19 → 5/12/23
Project: Research