Evaluation of correlation forecasting mo
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Vasiliki D. Skintzi; Spyros Xanthopoulos-Sisinis
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Article
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2007
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John Wiley and Sons
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English
β 234 KB
π 1 views
## Abstract Reliable correlation forecasts are of paramount importance in modern risk management systems. A plethora of correlation forecasting models have been proposed in the open literature, yet their impact on the accuracy of valueβatβrisk calculations has not been explicitly investigated. In t