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

Níguez, Trino Manuel and Rubia, Antonio (2006) Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. Journal of Forecasting, 25 (6). pp. 439-458. ISSN 0277-6693

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Official URL: http://dx.doi.org/10.1002/for.997


Item Type:Article
Additional Information:Online ISSN 1099-131X
Research Community:University of Westminster > Westminster Business School
ID Code:2273
Deposited On:30 Jun 2006
Last Modified:01 Nov 2012 15:37

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