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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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1987
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Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset PricingCovariance MatrixSimple MethodGeneral ConditionsManagementBusinessEconometricsPositive Semi-definiteFinancial EngineeringStatisticsFinanceHigh-frequency Financial Econometrics
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.