Items where Author is "Feng, Phoenix"

Article

Lam, Clifford ORCID: 0000-0001-8972-9129 and Feng, Phoenix (2018) A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. Journal of Econometrics, 206 (1). pp. 226-257. ISSN 0304-4076

Lam, Clifford ORCID: 0000-0001-8972-9129, Feng, Phoenix and Hu, Charlie (2017) Nonlinear shrinkage estimation of large integrated covariance matrices. Biometrika, 104 (2). pp. 481-488. ISSN 0006-3444