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

Journal of Forecasting

Volumn 25, Issue 6, 2006, Pages 439-458

  Ñíguez, Trino Manuel ^a,b   Rubia, Antonio ^c  

^a UNIVERSITY OF WESTMINSTER   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF ALICANTE   (Spain)

Author keywords

Exchange rates; Fractional integration; Long memory; MGARCH models; PCA

Indexed keywords

COMPUTATIONAL COMPLEXITY; FUNCTIONS; MATHEMATICAL MODELS; PRINCIPAL COMPONENT ANALYSIS; PROBLEM SOLVING; STORAGE ALLOCATION (COMPUTER);

EXCHANGE RATES; FRACTIONAL INTEGRATION; LONG MEMORY; MGARCH MODELS;

MATRIX ALGEBRA;

EID: 33749354086     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.997     Document Type: Article

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