Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages |
scientific article |
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Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (English)
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7 April 2021
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out-of-sample multistep forecasts
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multivariate GARCH
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hyperbolic decay
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long memory
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rank-one
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