Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction (Q4687534)
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scientific article; zbMATH DE number 6952445
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction |
scientific article; zbMATH DE number 6952445 |
Statements
Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction (English)
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12 October 2018
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multivariate GARCH
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realized covariance matrices
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predictive ability
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