Estimation and forecasting of dynamic conditional covariance: A semiparametric multivariate model
We propose a semiparametric conditional covariance (SCC) estimator that combines the first-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a nonpa...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1332 https://ink.library.smu.edu.sg/context/soe_research/article/2331/viewcontent/Estimation_and_Forecasting_of_Dynamic_Conditional_Covariance_A_Semiparametric_Multivariate_Model.pdf |
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| Institution: | Singapore Management University |
| Language: | English |