A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Jia ; Li, Degui ; Linton, Oliver |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 155-176
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| Subject: | Dynamic covariance matrix | MAMAR | Semiparametric estimation | Sparsity | Uniform consistency | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303906