Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices

Authors
de Jong, RM Davidson, J
Citation
Rm. De Jong et J. Davidson, Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices, ECONOMETRIC, 68(2), 2000, pp. 407-423
Citations number
20
Categorie Soggetti
Economics
Journal title
ECONOMETRICA
ISSN journal
00129682 → ACNP
Volume
68
Issue
2
Year of publication
2000
Pages
407 - 423
Database
ISI
SICI code
0012-9682(200003)68:2<407:COKEOH>2.0.ZU;2-O