Dynamic density forecasts for multivariate asset returns
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Publication:3101653
DOI10.1002/for.1192zbMath1226.91089OpenAlexW2115842433MaRDI QIDQ3101653
Evarist Stoja, Arnold Polanski
Publication date: 29 November 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: http://www.bristol.ac.uk/efm/media/workingpapers/working_papers/pdffiles/dp09616.pdf
method of momentsmultivariate value-at-riskforecasting of joint densitytime-varying higher co-moments
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