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A
multivariate
GARCH
-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
2
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
3
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra
;
Storti, Giuseppe
- In:
Journal of forecasting
34
(
2015
)
2
,
pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
Saved in:
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