We propose a high dimensional minimum variance portfolio estimator under statistical factor models, and show that our estimated portfolio enjoys sharp risk consistency. Our approach relies on properly integrating l1 constraint on portfolio weights with an appropriate covariance matrix estimator....

Using a comprehensive dataset of Chinese corporate bond issuances, we uncover substantial evidence of issuance overpricing: the yield spread of newly issued bonds at their first secondary-market trading day is on average 5.35 bps higher than the issuance spread. This overpricing is robust across...

This study investigates the possible spillover effects of customer satisfaction from product manufacturer to service provider, and vice versa. The survey results provide empirical evidence for the presence of spillover effects of quality and customer satisfactions in the mobile phone industry....

We study the estimation of the high-dimensional covariance matrix and its eigenvalues under dynamic volatility models. Data under such models have nonlinear dependency both cross-sectionally and temporally. We first investigate the empirical spectral distribution (ESD) of the sample covariance...

We establish a framework to study the factor structure in stock variance under a high-frequency and high-dimensional setup. We prove the consistency of conducting principal component analysis on realized variances in estimating the factor structure. Moreover, based on strong empirical evidence,...

Membrane fouling is generally considered as a major bottleneck to the wide application of membrane bioreactor (MBR) for high saline mariculture wastewater treatment. Though numerous researches have investigated the membrane fouing of MBR combined with bio-carriers, few studies reveal the impacts...

p-chlorophenol often exists in the wastewater discharged from pesticide and dye production process, which is toxic to aquatic organisms and has long-term adverse effects on water environment. Aiming at how to degrade wastewater containing p-chlorophenol, this paper employed ultrasound (US)...