Fitting Vast Dimensional Time-Varying Covariance Models
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Publication:6617786
DOI10.1080/07350015.2020.1713795zbMATH Open1547.62872MaRDI QIDQ6617786
Kevin Sheppard, Cavit Pakel, Robert F. Engle, Neil Shephard
Publication date: 11 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
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Related Items (3)
High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation ⋮ Fast estimation of a large TVP-VAR model with score-driven volatilities ⋮ Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
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