Robust Ranking of Multivariate GARCH Models by Problem Dimension
Year of publication: |
2012-04-01
|
---|---|
Authors: | Caporin, Massimiliano ; McAleer, Michael |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Covariance forecasting | model confidence set | robust model ranking | MGARCH | robust model comparison |
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Robust Ranking of Multivariate GARCH Models by Problem Dimension
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