Forecasting covariance matrices : a mixed approach
Roxana Halbleib and Valeri Voev
| Year of publication: |
2016
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|---|---|
| Authors: | Halbleib, Roxana ; Voev, Valeri |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 2, p. 383-417
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| Subject: | high-frequency data | multivariate volatility | realized (co)variance | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011589016