gesis-ssoar-24122

Property	Value
?:abstract	In this paper we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange (NYSE) and the Madrid Stock Exchange Index (MSEI). (xsd:string)
?:contributor	<https://data.gesis.org/gesiskg/resource/gesis-ssoar-24122_Acosta-Gonz%C3%A1lez_Eduardo> <https://data.gesis.org/gesiskg/resource/gesis-ssoar-24122_Andrada-F%C3%A9lix_Juli%C3%A1n> <https://data.gesis.org/gesiskg/resource/gesis-ssoar-24122_Fern%C3%A1ndez-Rodr%C3%ADguez_Fernando>
?:dateModified	2009 (xsd:gyear)
?:datePublished	2009 (xsd:gyear)
?:doi	10.1080/00036840701439371 ()
?:duplicate	<https://data.gesis.org/gesiskg/resource/duplicate_gesis-ssoar-24122_gesis-ssoar-24122>
?:hasFulltext	true (xsd:boolean)
is ?:hasPart of	<https://data.gesis.org/gesiskg/resource/>
?:inLanguage	en (xsd:string)
?:isPartOf	<https://data.gesis.org/gesiskg/resource/Applied_Economics>
?:issueNumber	26 (xsd:string)
?:linksDOI	<https://doi.org/10.1080/00036840701439371>
?:linksURN	<http://nbn-resolving.de/urn%3Anbn%3Ade%3A0168-ssoar-241225>
is ?:mainEntity of	<https://data.gesis.org/gesiskg/resource/duplicate_gesis-ssoar-24122_gesis-ssoar-24122>
?:name	Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index (xsd:string)
?:provider	<http://www.peerproject.eu/> <https://data.gesis.org/gesiskg/resource/SSOAR_-_Social_Science_Open_Access_Repository>
?:publicationType	Zeitschriftenartikel (xsd:string) journal_article (en)
?:sourceInfo	GESIS-SSOAR (xsd:string) In: Applied Economics, 41, 2009, 26, 3437-3445 (xsd:string)
rdf:type	<https://schema.org/ScholarlyArticle>
?:url	<http://www.ssoar.info/ssoar/handle/document/24122>
?:urn	urn:nbn:de:0168-ssoar-241225 ()
?:volumeNumber	41 (xsd:string)