Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks
Year of publication: |
2014
|
---|---|
Authors: | Audrino, Francesco |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 43-60
|
Publisher: |
Elsevier |
Subject: | Correlation forecasting | Component models | Threshold regime-switching models | Mixed data sampling | Performance evaluation |
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