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Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
In: Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP).
RePEc:lau:crdeep:04.10.

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  1. Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management. (2009). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:2:p:330-336.

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  2. ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts. (2005). Lahiri, Kajal ; Liu, Fushang .
    In: MPRA Paper.
    RePEc:pra:mprapa:21693.

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References

References cited by this document

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