Showing 1 - 10 of 3,935
Persistent link: https://www.econbiz.de/10003635785
Persistent link: https://www.econbiz.de/10003651581
Persistent link: https://www.econbiz.de/10003651587
Persistent link: https://www.econbiz.de/10003739092
Persistent link: https://www.econbiz.de/10003784945
Persistent link: https://www.econbiz.de/10003351679
Persistent link: https://www.econbiz.de/10003310013
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/10003850918
Persistent link: https://www.econbiz.de/10003880627