RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (10)
H
t
+
1
=
C
′
C
+
B
′
H
t
B
+
A
′
R
t
R
′
t
A
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamisamaaBa aaleaacaWG0bGaey4kaSIaaGymaaqabaGccqGH9aqpceWGdbGbauaa caWGdbGaey4kaSIabmOqayaafaGaamisamaaBaaaleaacaWG0baabe aakiaadkeacqGHRaWkceWGbbGbauaacaWGsbWaaSbaaSqaaiaadsha aeqaaOGabmOuayaafaWaaSbaaSqaaiaadshaaeqaaOGaamyqaaaa@473B@