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 ...

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models are available for generating such forecasts ...

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 ...

In multivariate analysis, the covariance matrix associated with a set of variables of interest (namely response variables) commonly contains valuable information about the dataset. When the dimension ...

The NLP procedure provides a variety of ways for estimating parameters in nonlinear statistical models and for obtaining approximate standard errors and covariance matrices for the estimators. These ...

This is a preview. Log in through your library . Abstract This paper is concerned with derivation of a new efficient algorithm for computing the exact Gaussian likelihood for structural parameters in ...