A multivariate Kernel approach to forecasting the variance covariance of stock market returns
Year of publication: |
2018
|
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Authors: | Becker, Ralf ; Clements, Adam ; O'Neill, Robert |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 6.2018, 1, p. 1-27
|
Publisher: |
Basel : MDPI |
Subject: | volatility forecasting | kernel density estimation | similarity forecasting |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics6010007 [DOI] 1019658835 [GVK] hdl:10419/195444 [Handle] |
Classification: | C53 - Forecasting and Other Model Applications ; c58 |
Source: |
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A multivariate Kernel approach to forecasting the variance covariance of stock market returns
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