Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

Author： Acosta-Gonzalez Eduardo   Andrada-Felix Julian   Fernandez-Rodriguez Fernando  

Publisher： Routledge Ltd

ISSN： 1466-4283

Source： Applied Economics, Vol.41, Iss.26, 2009-12, pp. : 3437-3445

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