Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach
DOI10.1002/for.2776zbMath1476.62201OpenAlexW3155100787MaRDI QIDQ5012726
Publication date: 25 November 2021
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.2776
realized volatilityconditional covariance matrixexponentially weighted moving average (EMWA)intraday range
Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (1)
This page was built for publication: Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach
