Forecasting time-varying covariance with a robust Bayesian threshold model
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Publication:3088162
DOI10.1002/for.1183zbMath1219.91113MaRDI QIDQ3088162
Publication date: 19 August 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1183
Markov chain Monte Carlo; value at risk; dynamic conditional correlation; generalized autoregressive conditional heteroskedasticity; hedge performance
91B82: Statistical methods; economic indices and measures
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