A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
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Publication:2323372
DOI10.1016/j.jeconom.2019.04.025zbMath1452.62369OpenAlexW2906358526MaRDI QIDQ2323372
Degui Li, Jia Chen, Oliver B. Linton
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/286502
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)
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