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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
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeq4Wdm3aaS baaSqaaiaadMgacaWGQbGaaiilaiaadshacqGHRaWkcaaIXaaabeaa kiabg2da9maabmaabaGaeqyWdi3aaSbaaSqaaiaadMgacaWGQbGaaG imaaqabaGccqGHRaWkcqaHbpGCdaWgaaWcbaGaamyAaiaadQgacaaI XaaabeaakiaadshaaiaawIcacaGLPaaacqaHdpWCdaWgaaWcbaGaam yAaiaacYcacaWG0bGaey4kaSIaaGymaaqabaGccqaHdpWCdaWgaaWc baGaamOAaiaacYcacaWG0bGaey4kaSIaaGymaaqabaaaaa@56E8@