Forecasting comparison of long term component dynamic models for realized covariance matrices

Luc Bauwens, Manuela Braione and Giuseppe Storti

Year of publication:	December 2016
Authors:	Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe
Published in:	Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 103-134
Subject:	Realized Covariance \| Component Dynamic Models \| MIDAS \| Minimum Variance Portfolio \| Model Confidence Set \| Value-at-Risk \| Korrelation \| Correlation \| Varianzanalyse \| Analysis of variance \| Volatilität \| Volatility \| Portfolio-Management \| Portfolio selection \| Kapitalmarktrendite \| Capital market returns \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| ARCH-Modell \| ARCH model \| Risikomaß \| Risk measure

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