Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting

Laura Capera Romero and Anne Opschoor
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Laura Capera Romero: Vrije Universiteit Amsterdam and Tinbergen Institute
Anne Opschoor: Vrije Universiteit Amsterdam and Tinbergen Institute

No 24-059/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Keywords: multivariate volatility; high-frequency data; realized variances; realized correlations (search for similar items in EconPapers)
JEL-codes: C32 C58 G17 (search for similar items in EconPapers)
Date: 2024-11-03
New Economics Papers: this item is included in nep-for and nep-rmg
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