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

Denisa Banulescu-Radu (denisa.banulescu-radu@univ-orleans.fr) and Elena Ivona Dumitrescu

No 2709, LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans

Keywords: Covariance; Forecasting; Realized measures; Copula (search for similar items in EconPapers)
Date: 2019
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Working Paper: Do High-frequency-based Measures Improve Conditional Covariance Forecasts? (2019)
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