The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Year of publication: |
2013
|
---|---|
Authors: | Varneskov, Rasmus Tangsgaard ; Voev, Valeri |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 20.2013, p. 83-95
|
Subject: | Forecast evaluation | Volatility forecasting | Portfolio optimization | Mean-variance analysis | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Korrelation | Correlation | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance |
-
Weighted least squares realized covariation estimation
Li, Yifan, (2022)
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2015)
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2013)
- More ...
-
Varneskov, Rasmus Tangsgaard, (2010)
-
Varneskov, Rasmus Tangsgaard, (2010)
-
Bootstrapping laplace transforms of volatility
Hounyo, Ulrich, (2023)
- More ...