Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks |
scientific article |
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Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (English)
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23 November 2018
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correlation forecasting
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component models
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threshold regime-switching models
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mixed data sampling
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performance evaluation
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