Time-varying window length for correlation forecasts
Year of publication: |
2017
|
---|---|
Authors: | Jeon, Yoontae ; McCurdy, Thomas H. |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 5.2017, 4, p. 1-29
|
Publisher: |
Basel : MDPI |
Subject: | model uncertainty | variance and correlation forecasts | time-varying window length |
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