a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting … models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model … the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We … realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation …