Robust ranking of multivariate GARCH models by problem dimension
Year of publication: |
2014
|
---|---|
Authors: | Caporin, Massimiliano ; McAleer, Michael |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 172-185
|
Publisher: |
Elsevier |
Subject: | Covariance forecasting | Model confidence set | Robust model ranking | MGARCH | Robust model comparison |
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