A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables

Chen, Jia; Li, Degui; Linton, Oliver

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Authors

Chen, Jia

Li, Degui

Linton, Oliver

Publication Date

2018-07-09

Type

Working Paper

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Citation

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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