Do High-frequency-based measures improve conditional covariance forecasts?

Denisa Banulescu-Radu and Elena Dumitrescu ()
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Elena Dumitrescu: Université Paris-Panthéon-Assas

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Date: 2019
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Published in Financial Mathematics, Volatility and Covariance Modelling, Routledge, 2019

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Working Paper: Do High-frequency-based Measures Improve Conditional Covariance Forecasts? (2019)
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