A Kernel Technique for Forecasting the Variance-Covariance Matrix
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- Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," Centre for Growth and Business Cycle Research Discussion Paper Series 151, Economics, The Univeristy of Manchester.
References listed on IDEAS
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More about this item
KeywordsNonparametric; variance-covariance matrix; volatility forecasting; multivariate;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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)
- NEP-ORE-2010-11-20 (Operations Research)
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