In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector …

estimation of the variance covariance matrix of the ML estimator of the parameters. I discuss further two possible applications …

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector … and Finance, No. 516 November 22, 2002 Abstract In this paper we derive conditions for the conditional covariance matrix …: conditional covariance matrix,multivariate GARCH,mul- tivariate volatility model,random coefficient model,volatility forecasting …

intervals and hypothesis tests based on the conventional covariance matrix are invalid. Although misspecification is a generic … asymptotic normality of the quantile estimator when the model is misspecified. In this case, the asymptotic covariance matrix has … a novel form, not seen in earlier work, and we provide a consistent estimator of the asymptotic covariance matrix. We …

Many authors have considered the problem of estimating a covariance matrix in small samples. In this framework the … sample covariance matrix is not robust, the solution is to impose some ad hoc structure on the covariance matrix to force it … perspective : we propose hierarchical priors for the covariance matrix to shrink toward diagonality. This approach draws on the …

proposed heteroskedasticity-consistent covariance matrix estimators. Overall, the results favor the HC4 and HC5 …

dimensionality and complexity using principal component analysis on the assets' covariance matrix. Second, we approximate this …