Xinghua Zheng

7 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-4108-2455

Department of Information System, Business Statistics and Operations Management, Hong Kong University of Science and Technology

Publications

• High-dimensional covariance matrices under dynamic volatility models: Asymptotics and shrinkage estimation — The Annals of Statistics 2024
• In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models — Journal of Financial Economics 2024
• Approaching Mean-Variance Efficiency for Large Portfolios — The Review of Financial Studies 2019
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations — The Annals of Statistics 2018
• Statistical Properties of Microstructure Noise — Econometrica 2017
• On the estimation of integrated covariance matrices of high dimensional diffusion processes — The Annals of Statistics 2011
• Tests for principal eigenvalues and eigenvectors — Journal of the American Statistical Association (name-matched, not ORCID-linked)