Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value
Yaojie Zhang, Yu Wei and Li Liu
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Yaojie ; Wei, Yu ; Liu, Li |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 9, p. 1425-1438
|
| Subject: | Prognoseverfahren | Forecasting model | Theorie | Theory | Korrelation | Correlation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1585561 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194796