We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

The taxation of aviation is a frequently discussed component of governments’ efforts to mitigate greenhouse gas emissions. This study examines the impact of the German aviation tax on passenger numbers during the period 2011-2019 using five panel data estimators and a Specification Curve...