Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
DOI10.1016/j.csda.2013.06.002zbMath1506.62011OpenAlexW2095167457MaRDI QIDQ1623507
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1112.pdf
performance evaluationmixed data samplingcomponent modelscorrelation forecastingthreshold regime-switching models
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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