A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Chen, Jia orcid.org/0000-0002-2791-2486, Li, Degui orcid.org/0000-0001-6802-308X and Linton, Oliver (2019) A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. Journal of Econometrics. pp. 155-176. ISSN 0304-4076

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Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information: © 2019 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Dynamic covariance matrix, MAMAR, Semiparametric estimation, Sparsity, Uniform consistency
Dates:
  • Accepted: 15 October 2018
  • Published (online): 12 April 2019
  • Published: 1 September 2019
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 25 Oct 2018 12:30
Last Modified: 10 Mar 2024 00:09
Published Version: https://doi.org/10.1016/j.jeconom.2019.04.025
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jeconom.2019.04.025
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