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Covariance Matrix Estimation in Time-Varying Factor Models.

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Title: Covariance Matrix Estimation in Time-Varying Factor Models.
Authors: Yao, Jingming1,2 (AUTHOR), Wu, Jianhong1,3 (AUTHOR) wujianhong@shnu.edu.cn
Source: Studies in Nonlinear Dynamics & Econometrics. Jun2026, Vol. 30 Issue 3, p485-501. 17p.
Database: Business Source Ultimate
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        Value: 10.1515/snde-2025-0042
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      – Code: eng
        Text: English
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        PageCount: 17
        StartPage: 485
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      – TitleFull: Covariance Matrix Estimation in Time-Varying Factor Models.
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            NameFull: Yao, Jingming
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              Text: Jun2026
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              Y: 2026
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