Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
Year of publication: |
2011-04
|
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Authors: | Audrino, Francesco |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Correlation forecasting | Component models | Threshold regime-switching models | Mixed data sampling | Performance evaluation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 1112 30 pages |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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