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A dynamic component model for forecasting high-dimensional realized covariance matrices

Bibliographic reference Bauwens, Luc ; Braione, Manuela ; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices. CORE DP ; 2016/01 (2016) 26 pages
Permanent URL http://hdl.handle.net/2078.1/171242