Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998
Year of publication: |
2004
|
---|---|
Authors: | Bystrom, Hans |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 10.2004, 1, p. 44-67
|
Publisher: |
Taylor & Francis Journals |
Subject: | principal components | multivariate GARCH | covariance matrix | forecast evaluation |
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