Averaging estimation for conditional covariance models

DOI10.1080/03610926.2018.1483511OpenAlexW2899290611MaRDI QIDQ5076879

Jin Liu

Publication date: 17 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1483511

zbMATH Keywords

curse of dimensionalitymarginal regressionportfolio allocationaveraging estimationconditional covariance estimation

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)

Cites Work

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• A flexible semiparametric forecasting model for time series
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• Generalized autoregressive conditional heteroscedasticity
• Semiparametric estimation of conditional heteroscedasticitity via single-index modeling
• Local linear estimation of covariance matrices via Cholesky decomposition
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Vast Portfolio Selection With Gross-Exposure Constraints
• An overview of the estimation of large covariance and precision matrices
• Maximum Likelihood Estimation for Linear Gaussian Covariance Models
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

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