RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (B1)
σ
i
j
,
t
+
1
=
(
ρ
i
j
0
+
ρ
i
j
1
t
)
σ
i
,
t
+
1
σ
j
,
t
+
1
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