Estimating time-varying variances and covariances via...

Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

Acosta-Gonzalez, Eduardo, Andrada-Felix, Julian, Fernandez-Rodriguez, Fernando
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Volume:
41
Language:
english
Journal:
Applied Economics
DOI:
10.1080/00036840701439371
Date:
December, 2009
File:
PDF, 667 KB
english, 2009
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