A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables
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Publication Date
2018-07-09Type
Working Paper
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Chen, J., Li, D., & Linton, O. (2018). A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables. https://doi.org/10.17863/CAM.33812
Keywords
Dynamic Covariance Matrix, MAMAR, Semiparametric Estimation, Sparsity, Uniform Consistency
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This record's DOI: https://doi.org/10.17863/CAM.33812
This record's URL: https://www.repository.cam.ac.uk/handle/1810/286502
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