A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095)
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scientific article; zbMATH DE number 7135525
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| English | A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series |
scientific article; zbMATH DE number 7135525 |
Statements
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (English)
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22 November 2019
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forecasting
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partial correlation vine
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realized volatility
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time-series modeling
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R-vine structure selection
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0.854167103767395
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0.7982674837112427
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0.7856345176696777
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0.780528724193573
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0.7755599617958069
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