LSE creators

Number of items: 3.
Public
  • Feng, Huang (2018). Eigenvalue-regularized covariance matrix estimators for high-dimensional data [Doctoral thesis]. London School of Economics and Political Science. https://doi.org/10.21953/lse.osead61e9a1s
  • Lam, Clifford, Feng, Phoenix (2018). A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. Journal of Econometrics, 206(1), 226-257. https://doi.org/10.1016/j.jeconom.2018.06.001
  • Lam, Clifford, Feng, Phoenix, Hu, Charlie (2017). Nonlinear shrinkage estimation of large integrated covariance matrices. Biometrika, 104(2), 481-488. https://doi.org/10.1093/biomet/asx021