Junhui Wang

City University of Hong Kong (CityU) - School of Data Science

Kowloon

Hong Kong

SCHOLARLY PAPERS

2

DOWNLOADS

322

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Large-Dimensional Positive Definite Covariance Estimation for High Frequency Data via Low-rank and Sparse Matrix Decomposition

Number of pages: 35 Posted: 08 Jul 2019 Last Revised: 29 Mar 2021
City University of Hong Kong, Cornell University - Department of Economics, Xiamen University and City University of Hong Kong (CityU) - School of Data Science
Downloads 240 (165,537)

Abstract:

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Machine Learning, Large Covariance, High Frequency, High Dimension, Positive Definite, Vast Portfolio Evaluation, Sharpe Ratios, ADMM

2.

Large Dimensional Time-Varying GMM Estimation: A New Approach

Number of pages: 50 Posted: 08 Apr 2021
Liyuan Cui, Yongmiao Hong and Junhui Wang
City University of Hong Kong, Cornell University - Department of Economics and City University of Hong Kong (CityU) - School of Data Science
Downloads 82 (383,035)

Abstract:

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Machine learning, large dimension, time-varying GMM, structural changes, ridge fusion penalty, estimation stability, asset pricing, stochastic discount factor