Forecasting time-varying covariance with a robust Bayesian threshold model (Q3088162)

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Forecasting time-varying covariance with a robust Bayesian threshold model
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    Forecasting time-varying covariance with a robust Bayesian threshold model (English)
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    19 August 2011
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    dynamic conditional correlation
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    generalized autoregressive conditional heteroskedasticity
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    hedge performance
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    Markov chain Monte Carlo
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    value at risk
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