Modeling and forecasting realized covariance matrices with accounting for leverage
Stanislav Anatolyev and Nikita Kobotaev
| Year of publication: |
2018
|
|---|---|
| Authors: | Anatolyev, Stanislav ; Kobotaev, Nikita |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 114-139
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| Subject: | CAW | leverage | MIDAS | realized volatility | rolatility forecasting | Volatilität | Volatility | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1035165 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012038156