We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a...

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...