Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
| Year of publication: |
2009
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|---|---|
| Authors: | Hlouskova, Jaroslava ; Schmidheiny, Kurt ; Wagner, Martin |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 16.2009, 2, p. 330-337
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