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Time series analysis / Technical analysis / Volatility / Forecasting / Estimation of covariance matrices / Covariance / Time series / Statistics / Mathematical finance / Statistical forecasting


CREATES Research PaperForecasting Covariance Matrices: A Mixed Frequency Approach Roxana Halbleib and Valeri Voev
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Document Date: 2011-09-21 09:13:16

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File Size: 3,99 MB

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City

Bruxelles / Brussels / /

Company

Diebold / Belgian National Bank / /

Country

Belgium / Denmark / /

Currency

pence / /

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Facility

Aarhus University / /

MarketIndex

Autoregressive Fractionally Integrated Moving / /

Organization

School of Economics and Management / ECORE / Danish National Research Foundation / Mixed Frequency Approach Roxana Halbleib and Valeri Voev School of Economics and Management Aarhus University Bartholins Allé / European Center for Advanced Research / Aarhus University / Center for Research / Solvay Brussels School of Economics and Management / /

Person

Valeri Voev† Universit / F. Roosevelt / /

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Position

author / Rt / Dynamic Mixed-Frequency Model Let rt / /

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