Using simulated currency rainbow options to evaluate covariance matrix forecasts

Hans Byström

Journal of International Financial Markets, Institutions and Money, 2002, vol. 12, issue 3, 216-230

Date: 2002
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Working Paper: Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:12:y:2002:i:3:p:216-230

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