Improving forecasts with the co-range dynamic conditional correlation model (Q2338532)
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scientific article; zbMATH DE number 7134758
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| English | Improving forecasts with the co-range dynamic conditional correlation model |
scientific article; zbMATH DE number 7134758 |
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Improving forecasts with the co-range dynamic conditional correlation model (English)
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21 November 2019
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volatility models
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GARCH model
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covariance forecasting
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range-based models
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simulation study
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currency rates
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0.8032690286636353
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0.7871204018592834
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0.7859117984771729
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0.7844746708869934
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