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Antonio Rubia
Information about the author Antonio Rubia will soon be added to the site.
Found
2 papers
in total
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On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
2013
Most downside risk models implicitly assume that returns are a sufficient statistic...
Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
2006
Long-range persistence in volatility is widely modelled and forecast in terms of the...
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