A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
M. Bonato, M. Caporin and A. Ranaldo
| Year of publication: |
2012
|
|---|---|
| Authors: | Bonato, M. ; Caporin, Massimiliano ; Ranaldo, Angelo |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 18.2012, 9/10, p. 761-774
|
| Subject: | realized covariance | WAR | HAR | multivariate volatility forecasts | Volatilität | Volatility | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009691781