A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

DOI10.1016/j.jeconom.2019.04.025zbMath1452.62369OpenAlexW2906358526MaRDI QIDQ2323372

Degui Li, Jia Chen, Oliver B. Linton

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/286502

zbMATH Keywords

semiparametric estimationsparsityuniform consistencydynamic covariance matrixMAMAR

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Optimal model averaging based on forward-validation, Binary response models for heterogeneous panel data with interactive fixed effects, Time-varying minimum variance portfolio, Nonparametric estimation of large covariance matrices with conditional sparsity, Varying coefficient linear discriminant analysis for dynamic data

Uses Software

• KernSmooth

Cites Work

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