Bekaert, Geert (contributor); Hodrick, Robert J. (contributor) - 2008
performance of the European fi nancial system.
The Fellowship programme is named after Baron Alexandre Lamfalussy, the fi rst … performance of each model relative to the other models, we use a mean squared
error criterion, which is the time series mean of a … ability to
match the sample covariance matrix. Sections 4.5 and 4.6 examine the out-of-sample performance
of the best models …