Xiamen, Fujian 361005
China
Xiamen University
Machine Learning, Large Covariance, High Frequency, High Dimension, Positive Definite, Vast Portfolio Evaluation, Sharpe Ratios, ADMM
Index futures, Spot market volatility, Panel data, Chinese stock market
Expectiles, EVaR, CoEVaR, expectile lasso regression, network analysis, systemic risk, Financial Risk Meter
Euler equation, implied price-dividend ratio, nonparametric, penalized splines, two-stage regression, return predictability.
Nonstationary Time Series, Varying-coefficient Model, Likelihood Ratio Test, Penalized Splines
Principal Component Analysis; Penalized Smoothing; Asymptotics; Functional Magnetic Resonance Imaging (fMRI)
clustering, expectiles, asymmetric quadratic loss, image segmentation