CORDIS Project
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This project focuses on improving econometric models by developing new methods for estimating covariance in large datasets. It aims to enhance forecasting accuracy in macroeconomic variables and optimize portfolio allocation using innovative statistical techniques.
Recently there has been considerable focus on methods that enable time varying estimation of parameters in econometric models in the presence of, possibly stochastic, structural change.
An interesting strand of this literature dispenses with the, computationally expensive and theoretically unclear, standard Bayesian estimation methods in favour of kernel estimation.
In this project we intend to extend that strand of the literature to the case of large dimensional datasets and perhaps the most co…
UNIVERSITY OF CYPRUS
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