Dong Wang

Rutgers, The State University of New Jersey - Rutgers University

311 Armitage Hall

N. 5th Street, room 313

Camden, NJ 08102

United States

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Scholarly Papers (1)

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Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

Journal of Econometrics, Forthcoming
Number of pages: 44 Posted: 18 Nov 2021
University of Washington, The University of Hong Kong, HKU, Faculty of Business and Economics, Fudan University - School of Management, Rutgers, The State University of New Jersey - Rutgers University and The University of Hong Kong - Faculty of Business and Economics
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Abstract:

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Kronecker product; Matrix sub-Gaussian distribution; Portfolio construction; Testing of non-correlation; One-sample and two-sample