-sample fit as well as in terms of out-of-sample covariance predictions. The latter are mostly significant in periods of high …

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past … realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in … impose the same dynamics to the variance and covariance processes (namely, BEKK-type models), whereas for the dataset of …