Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index
| Year of publication: |
2009
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|---|---|
| Authors: | Acosta-Gonzalez, Eduardo ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 2801760. - Vol. 41.2009, 26, p. 3437-3446
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