Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011546784
Persistent link: https://www.econbiz.de/10011878528
Persistent link: https://www.econbiz.de/10011386639
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10003796201
Persistent link: https://www.econbiz.de/10009347920
Persistent link: https://www.econbiz.de/10012388431
Persistent link: https://www.econbiz.de/10011718826
Persistent link: https://www.econbiz.de/10014516010
Persistent link: https://www.econbiz.de/10014447814
Persistent link: https://www.econbiz.de/10013375124