The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

Journal of Applied Probability, Vol. 27, No. 1 (Mar., 1990), pp. 156-170 (15 pages) Let Xt be a discrete-time multivariate stationary process possessing an infinite autoregressive representation and ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage ...

A new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much more flexible than existing models and subsumes most of them as special cases. A Fisher ...

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...