Yin Xia

Fudan University - School of Management

No. 670, Guoshun Road

No.670 Guoshun Road

Shanghai, 200433

China

  • Fudan University - School of Management

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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
Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang and Haipeng Shen
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