Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10013441752
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/10009745817
Persistent link: https://www.econbiz.de/10011705024
Persistent link: https://www.econbiz.de/10011610652