multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …

This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well …-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood … unique framework to reconcile the estimation obtained by the Kalman Filter and with some auxiliary models proposed in the …

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in … the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists …

of the estimation risk, one of the measures is new and extends an existing one. The results allows us to distinguish the …

measurement error distribution are neglected in the indirect estimation. We propose to solve this inconsistency by jointly …

decomposition of nonstationarity into short- and long-term components. The model permits consistent estimation of the multiscale …