Multivariate volatility forecasts for stock market indices

Summary

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Authors: Ines Wilms, Jeroen Rombouts, Christophe Croux

Journal title: International Journal of Forecasting

Journal number: 37(2)

Journal publisher: Elsevier BV

Published year: 2021

Published pages: 484-499

DOI identifier: 10.1016/j.ijforecast.2020.06.012

ISSN: 0169-2070