Nolte, Ingmar; Voev, Valeri - 2009
detailed analysis of LS-based covariance estimation in a subsequent paper.
It should be noted, that the possibility of OLS …). On the basis of the theoretical
relationship in Equation (1), we can easily derive an OLS regression of the form
yh,s = c … + β0Nh,s + εh,s, s = 1,...,S, h = 1,...,s (2)
where yh,s = RV h,s(Nkh,s).3
It is interesting to note that the above OLS …