Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22
This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on … and ex-post covariance measures are bridged. The forecast performance of a covariance estimator can be assessed according … consistently perform better than others and emphasize the importance of RCOV selection in covariance modeling and forecasting. …