Caporin, M.

model 0.00 1.000 1.00 0.000 1.0 1.1 1.3 1.2 0.9 0.5 1.4 0.8 1.6 1.5 correlation covariance 2.7 0.7 0.4 1.8 0.6 0.3 2.6 1.7 0.1 2.5 2.8 variance 0.2 function 0.01 2.4 2.0 2.1 multivariate 2.2 1.9 confidence 2.3 0.03 2.9 result 0.04 table number approach portfolio 0.02 dimension engle volatility 3.2 garch parameter 3.1 3.3 estimation asset forecast comparison statistic mcaleer 3.0 3.7 3.6 matrix 0.08 0.05 3.4 3.8 0.001 0.0 3.5 journal crosssectional dimension report evaluation 3.9 specification