Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires …-parametric version of regularisation techniques for sparse large covariance matrices, developed by Bickel and Levina (2008) and others … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …