Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
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More about this item
Keywords
Multivariate time series; slowly changing vector random walk; local covariance matrix; kernel estimation; asymptotic properties; forecasting;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G00 - Financial Economics - - General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-02-10 (Econometrics)
- NEP-ETS-2007-02-10 (Econometric Time Series)
- NEP-FOR-2007-02-10 (Forecasting)
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