Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility

MaRDI QIDQ2888115zbMATH OpenFDO

Authors Giacomo Sbrana, Andrea Silvestrini

Publication date 30 May 2012

zbMATH Keywords

aggregationARMAEWMAGARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(2)

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