Showing 1 - 10 of 26
Persistent link: https://www.econbiz.de/10011951030
Persistent link: https://www.econbiz.de/10012317397
Persistent link: https://www.econbiz.de/10011705024
This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
Persistent link: https://www.econbiz.de/10012697796
Persistent link: https://www.econbiz.de/10013453610
Persistent link: https://www.econbiz.de/10013492817
Persistent link: https://www.econbiz.de/10014393064
Persistent link: https://www.econbiz.de/10015135066
Persistent link: https://www.econbiz.de/10015165307
Persistent link: https://www.econbiz.de/10013162514