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

Denisa Banulescu-Radu () and Elena Dumitrescu
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Denisa Banulescu-Radu: LEO - Laboratoire d'Économie d'Orleans [2022-...] - UO - Université d'Orléans - UT - Université de Tours - UCA - Université Clermont Auvergne
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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