The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications. As a result,...

In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is presented. We focus in particular on the estimation of the degrees of freedom. A new estimator is proposed. Monte Carlo simulations show that this novel estimator is more efficient...

Models for realized covariance matrices may suffer for the curse of dimensionality as more traditional multivariate volatility models(such as GARCH and stochastic volatility). Within the class of realized covariance models we focus on the Wishart specification introduced by Gourieroux et al....