Orthogonal GARCH and coariance matrix forecasting: The nordic stock markets during the asian financial crisis 1997-1998

European Journal of Finance

Volumn 10, Issue 1, 2004, Pages 44-67

  Byström, Hans N E ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Covariance matrix; Forecast evaluation; Multivariate GARCH; Principal components

Indexed keywords

EID: 1642346325     PISSN: 1351847X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1351847032000061379     Document Type: Review

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