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13-113/III - Predicting Covariance Matrices with Financial Conditions Indexes


  • Authors
    Anne Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam
  • Publication date
    August 9, 2013
  • Keywords
    Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies
  • JEL
    G17, G23, E44