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Computationally efficient inference procedures for vast dimensional realized covariance models

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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction

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Forecasting comparison of long term component dynamic models for realized covariance matrices

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Forecasting comparison of long term component dynamic models for realized covariance matrices

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A dynamic component model for forecasting high-dimensional realized covariance matrices

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Dynamic conditional correlation models for realized covariance matrices

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A Model Confidence Set approach to the combination of multivariate volatility forecasts

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Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

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Multiplicative conditional correlation models for realized covariance matrices

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