A suggestion for constructing a large time-varying conditional covariance matrix
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Publication:1673539
DOI10.1016/j.econlet.2017.04.020zbMath1400.62175OpenAlexW2609119222MaRDI QIDQ1673539
Heather D. Gibson, George S. Tavlas, Stephen G. Hall
Publication date: 12 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2381/39896
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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