2 papers
math.ST2018
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"
Christian M. Hafner, Oliver B. Linton, Haihan Tang
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"
math.PR2016
Looking Backward and Looking Forward
Zhengyuan Gao, Christian M. Hafner
Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper sh…