Robust ranking of multivariate GARCH models by problem dimension (Q1623519)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust ranking of multivariate GARCH models by problem dimension |
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Robust ranking of multivariate GARCH models by problem dimension (English)
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23 November 2018
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covariance forecasting
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model confidence set
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robust model ranking
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MGARCH
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robust model comparison
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