Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by this, this paper establishes a new central limit theorem (CLT) for a linear spectral statistic (LSS) of high dimensional sample correlation matrices for the case where the...

This study decomposes the bilateral trade flows using a three-dimensional panel data model. Under the scenario that all three dimensions diverge to infinity, we pro- pose an estimation approach to identify the number of global shocks and country- specific shocks sequentially, and establish the...

This paper proposes a new time-varying minimum variance portfolio (TV-MVP) in a large investment universe of assets. Our method extends the existing literature of minimum variance portfolio by allowing for time-varying factor loadings, which is the facilitator to capture the dynamics of asset...