This paper introduces a new class of multivariate volatility models that utilizes high-frequency data.  We discuss the models' dynamics and highlight their differences from multivariate GARCH models.  We also discuss their covariance targeting specification and provide closed-form formulas...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. By modelling the Cholesky factors of the covariance matrices, the model generates...

Summary This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariance matrices, the model...

This paper presents two classes of tick-by-tick covariance estimators adapted to the case of rounding in the price time stamps to a frequency lower than the typical arrival rate of tick prices. We investigate, through Monte Carlo simulations, the behavior of such estimators under realistic...

This article evaluates the economic benefit of methods that have been suggested to optimally sample (in an MSE sense) high-frequency return data for the purpose of realized variance/covariance estimation in the presence of market microstructure noise (Bandi and Russell, 2005a, 2008). We compare...