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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 ...
JEL: C13, C32, C58 / KEY WORDS: Realized Covariance, Component Dynamic Models, MIDAS, Minimum Variance Portfolio, Model Confidence Set, Value-at-Risk. RÉSUMÉ. Des spécifications nouvelles sont ...
where nused is the number of non-missing observations and np is the number of estimable parameters. The standard error reported for the parameters is the sqrt of the ...
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