Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
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Publication:2661315
DOI10.1515/JEM-2020-0004zbMath1462.62565OpenAlexW3092084584MaRDI QIDQ2661315
Publication date: 7 April 2021
Published in: Journal of Econometric Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jem-2020-0004
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
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