Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework
Year: 2002
Type: preprint
Source: SSRN Electronic Journal
DOI: 10.2139/ssrn.305279
Authors: Jose Antonio Lopez, Christian A. Walter
Institution: Federal Reserve Bank of San Francisco
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1505638102