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

Jia Chen, Degui Li, Oliver Linton

Year of publication:	[2018] ; Version: October 24, 2018
Authors:	Chen, Jia ; Li, Degui ; Linton, Oliver
Publisher:	York : Department of Economics and Related Studies, University of York
Subject:	Dynamic covariance matrix \| MAMAR \| Semiparametric estimation \| Sparsity \| Uniform consistency \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation

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