Louzis, Dimitrios P. - In: Economics Bulletin 35 (2015) 1, pp. 774-782
incorporate 'rotated' realized correlation measures which exploit the information content of intra-day data. The empirical … diagonal RDCC specifications for portfolio management purposes. However, simpler scalar specifications enhanced with realized …-daily flexible RDCC models for asset allocation purposes when the computation of realized correlation measures is practically …