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This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and …
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distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …
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distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …
Persistent link: https://www.econbiz.de/10005100952
The problem considered here is that of using a data-driven procedure to select a good estimate from a class of linear estimates indexed by a discrete parameter. In contrast to other papers on this subject, we consider models with heteroskedastic errors. The results apply to model selection...
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mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
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