This paper proposes two new approaches to improve estimation of the coefficients of the multivariate HAR (MHAR) model, and in turn improve forecast performance. A robust estimator of the covariance matrix is adopted to replace the realized covariance (RCov) matrix while estimating the MHAR...

We examine the information flow between the equity and credit default swap (CDS) markets using firm level returns data before and after the Global Financial Crisis (GFC). Prior to the crisis, the information flow is unidirectional with equity returns leading CDS returns. While equity returns...