Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach

Autor:	Wei Kuang
Rok vydání:	2021
Předmět:	Matrix (mathematics) Realized variance Strategy and Management Modeling and Simulation Exponentially weighted moving average Applied mathematics Management Science and Operations Research Statistics Probability and Uncertainty Conditional variance Computer Science Applications Mathematics
Zdroj:	Journal of Forecasting. 40:1398-1419
ISSN:	1099-131X 0277-6693
DOI:	10.1002/for.2776
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e0482e9389ad199577f376b30740b8f0 https://doi.org/10.1002/for.2776 Zobrazit plný text záznamu Plný text ve formátu PDF