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Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

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HALBLEIB, Roxana, Valeri VOEV, 2011. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors. In: Jahrbücher für Nationalökonomie und Statistik. 231(1), pp. 134-152. ISSN 0021-4027

@article{Halbleib2011Forec-29012, title={Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors}, year={2011}, number={1}, volume={231}, issn={0021-4027}, journal={Jahrbücher für Nationalökonomie und Statistik}, pages={134--152}, author={Halbleib, Roxana and Voev, Valeri} }

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