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  • Search: subject:"covariance matrix estimation and forecasting"
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Marktrisiko 1 Prognose 1 Schätzung 1 covariance matrix estimation and forecasting 1 high frequency finance 1 Ökonometrie 1
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Voev, Valeri 1
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Three Essays on Estimation and Dynamic Modelling of Multivariate Market Risks using High Frequency Financial Data
Voev, Valeri - 2008
This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic modelling of multivariate volatility by employing the information contained in high-frequency data, which became available in the last 10 - 15 years. The main focus of all...
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