Dynamic density forecasts for multivariate asset returns
Year of publication: |
2011
|
---|---|
Authors: | Polanski, Arnold ; Stoja, Evarist |
Published in: |
Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 30.2011, 6, p. 523-540
|
Publisher: |
John Wiley & Sons, Ltd. |
Subject: | forecasting of joint density | time‐varying higher co‐moments | method of moments | multivariate value‐at‐risk |
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