Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Year of publication: |
2011
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Authors: | Long, Xiangdong ; Su, Liangjun ; Ullah, Aman |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 29.2011, 1, p. 109-125
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Subject: | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Korrelation | Correlation | Nichtparametrisches Verfahren | Nonparametric statistics | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
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