Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value

Yaojie Zhang, Yu Wei and Li Liu

Quantitative Finance, 2019, vol. 19, issue 9, 1425-1438

Abstract: Dynamic model selection is likely the best model for covariance matrix forecasting from both the statistical and economic perspectives

Date: 2019
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DOI: 10.1080/14697688.2019.1585561

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