A dynamic component model for forecasting high-dimensional realized covariance matrices

Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI, Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI and Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI
Authors registered in the RePEc Author Service: Luc Bauwens and Giuseppe Storti

No 2812, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2017-01-01
Note: In : Econometrics and Statistics, 1, 40-61, 2017
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Related works:
Working Paper: A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices (2020)
Journal Article: A dynamic component model for forecasting high-dimensional realized covariance matrices (2017)
Working Paper: A dynamic component model for forecasting high-dimensional realized covariance matrices (2016)
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