Do High-frequency-based Measures Improve Conditional Covariance Forecasts?

Elena Ivona Dumitrescu and Georgiana-Denisa Banulescu ()
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Georgiana-Denisa Banulescu: LEO - Laboratoire d'Économie d'Orleans [FRE2014] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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

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