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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. In: Econometrics and Statistics, Vol. 1, p. 40-61 (2017)
Permanent URL http://hdl.handle.net/2078.1/191239