A Cholesky-MIDAS model for predicting stock portfolio volatility
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- Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Cholesky-MIDAS model for predicting stock portfolio volatility," Centre for Growth and Business Cycle Research Discussion Paper Series 149, Economics, The Univeristy of Manchester.
References listed on IDEAS
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- Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2009. "Evaluating multivariate volatility forecasts," NCER Working Paper Series 41, National Centre for Econometric Research, revised 25 Nov 2009.
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More about this item
KeywordsCholesky; Midas; volatility forecasts;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ETS-2010-11-20 (Econometric Time Series)
- NEP-FOR-2010-11-20 (Forecasting)
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