Showing 1 - 10 of 152
Persistent link: https://www.econbiz.de/10011305157
Persistent link: https://www.econbiz.de/10011317278
Persistent link: https://www.econbiz.de/10010415477
Persistent link: https://www.econbiz.de/10001692022
Persistent link: https://www.econbiz.de/10001129232
Persistent link: https://www.econbiz.de/10001167103
Realized covariance matrices (RCs) are an important input to asses the risks involved in different investment allocations and it is thus useful to model and forecast them. To this end generalized autoregressive score (GAS) models are employed in this paper. These models are ideal for comparing...
Persistent link: https://www.econbiz.de/10013290242
Persistent link: https://www.econbiz.de/10012505591
Persistent link: https://www.econbiz.de/10012173810
Persistent link: https://www.econbiz.de/10000722641