We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only...