Becker, Ralf; Clements, Adam; O'Neill, Robert - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27
This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices … of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting … process of the matrix without resorting to a decomposition of the matrix. The model makes use of similarity forecasting …
