Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Bollerslev, T; Patton, AJ; Quaedvlieg, R

Patton, AJ (reprint author), Duke Univ, Dept Econ, 213 Social Sci Bldg,Box 90097, Durham, NC 27708 USA.

JOURNAL OF ECONOMETRICS, 2018; 207 (1): 71

Abstract

We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from hig......

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