Forecasting covariance matrices : a mixed approach
Year of publication: |
2016
|
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Authors: | Halbleib, Roxana ; Voev, Valeri |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 2, p. 383-417
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Subject: | high-frequency data | multivariate volatility | realized (co)variance | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Theorie | Theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price |
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