Modelling Realized Covariances
Year of publication: |
2009-11-10
|
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Authors: | Jin, Xin ; Maheu, John M |
Institutions: | University of Toronto, Department of Economics |
Subject: | eigenvalues | dynamic conditional correlation | predictive likelihoods | MCMC |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 29 pages |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: |
-
Modelling Realized Covariances and Returns
Jin, Xin, (2010)
-
Modelling Realized Covariances and Returns
Jin, Xin, (2012)
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Modelling Realized Covariances and Returns
Jin, Xin, (2011)
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Modelling Realized Covariances and Returns
Jin, Xin, (2010)
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J, (2012)
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A New Structural Break Model with Application to Canadian Inflation Forecasting
Maheu, John M, (2012)
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