Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by … decomposition of realized (co)variances. The new "realized partial (co)variances" allow for multiple thresholds with various … choose the thresholds to maximize the out-ofsample forecast performance of time series models based on realized partial (co …