Forecasting comparison of long term component dynamic models for realized covariance matrices

Luc Bauwens, Manuela Braione and Giuseppe Storti

No 2923, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2016-01-01
Note: In : Annals of Economics and Statistics, 123/124, 103-154, 2016
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Related works:
Journal Article: Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices (2016)
Working Paper: Forecasting comparison of long term component dynamic models for realized covariance matrices (2014)
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