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Estimation of a multiplicative covariance structure

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016

We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free parameters increases logarithmically with the dimensions of the matrix. We propose an estimation method of the free parameters based on the log linear property of this...

Persistent link: https://www.econbiz.de/10011471948

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347

Persistent link: https://www.econbiz.de/10011610563

Estimation of a multiplicative covariance structure in the large dimensional case

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016

Persistent link: https://www.econbiz.de/10011565160

Estimation of a multiplicative covariance structure in the large dimensional case

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016

Persistent link: https://www.econbiz.de/10011894446

A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver - 2018 - Version: October 24, 2018

Persistent link: https://www.econbiz.de/10011941318

Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

Park, Sujin; Linton, Oliver - 2012

Persistent link: https://www.econbiz.de/10009552168

Estimating quadratic variation consistently in the presence of correlated measurement errors

Kalnina, Ilze (contributor); Linton, Oliver (contributor) - 2006

Persistent link: https://www.econbiz.de/10003375854

Estimation of a multiplicative correlation structure in the large dimensional case

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - In: Journal of econometrics 217 (2020) 2, pp. 431-470

Persistent link: https://www.econbiz.de/10012482816

Estimation of a multiplicative correlation structure in the large dimensional case

Hafnery, Christian; Linton, Oliver; Tang, Haihan - 2018

Persistent link: https://www.econbiz.de/10012671159

A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver - 2018 - version: October 24, 2018

Persistent link: https://www.econbiz.de/10012671372

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