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Persistent link: https://www.econbiz.de/10005418616
Large one-off events cause large changes in prices, but may not affect the volatility and correlation dynamics as much as smaller events. In such cases, standard volatility models may deliver biased covariance forecasts. We propose a multivariate volatility forecasting model that is accurate in...
Persistent link: https://www.econbiz.de/10011051412
Persistent link: https://www.econbiz.de/10005418381