This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. By modelling the Cholesky factors of the covariance matrices, the model generates...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates...

Summary This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariance matrices, the model...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. By modelling the Cholesky factors of the covariance matrices, the model generates...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...