RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation
χ
2
=
1
2
t
r
(
c
0.5
R
¯
−
1
(
R
1
−
R
2
)
)
2
−
d
g
′
(
(
c
0.5
R
¯
−
1
(
R
1
−
R
2
)
)
2
)
S
−
1
d
g
(
(
c
0.5
R
¯
−
1
(
R
1
−
R
2
)
)
2
)
c
=
n
1
n
2
/
(
n
1
+
n
2
)
,
R
¯
=
(
n
1
R
1
+
n
2
R
2
)
/
(
n
1
+
n
2
)
,
S
=
(
d
i
j
+
r
¯
i
j
r
¯
i
j
)
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