On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model (Q4687601)
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scientific article; zbMATH DE number 6952592
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| English | On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model |
scientific article; zbMATH DE number 6952592 |
Statements
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model (English)
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12 October 2018
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realized covariance
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portfolio optimisation
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economic evaluation
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0.8192294836044312
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0.8047035932540894
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0.7989155054092407
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0.7960317134857178
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0.7928101420402527
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