RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (2)
σ
2
i
j
,
t
+
1
=
λ
σ
2
i
j
,
t
+
(
1
−
λ
)
r
i
,
t
r
j
,
t
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