Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?

Limin Yu, Zhuo Huang

Year of publication:	2022-10-25
Authors:	Yu, Limin ; Huang, Zhuo
Publisher:	[Beijing] : National School of Development, Peking University
Subject:	Realized Volatility \| Covariance Matrix Forecasting \| Investment Horizon \| Statistical and Economic Evaluation \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Korrelation \| Correlation \| Investition \| Investment \| Multivariate Analyse \| Multivariate analysis \| Kapitaleinkommen \| Capital income \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis

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