Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

  1. Ñíguez, T.-M.
  2. Rubia, A.
Journal:
Journal of Forecasting

ISSN: 0277-6693,  1099-131X

Year of publication: 2006

Volume: 25

Issue: 6

Pages: 439-458

Type: Article

DOI: 10.1002/FOR.997 GOOGLE SCHOLAR
Data source: Scopus