StatPerMeCo
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Software:154369
CRANStatPerMeCoMaRDI QIDQ154369FDOQ154369
Statistical Performance Measures to Evaluate Covariance Matrix Estimates
Last update: 14 April 2017
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.1.0
- Large Dynamic Covariance Matrices
- Modeling Multivariate Volatilities via Latent Common Factors
- On the forecasting accuracy of multivariate GARCH models
- Model Uncertainty and Forecast Combination in High-Dimensional Multivariate Volatility Prediction
- Selecting volatility forecasting models for portfolio allocation purposes
This page was built for software: StatPerMeCo
