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Modelling and Forecasting Multivariate Realized Volatility
Chiriac, Roxana; Voev, Valeri - School of Economics and Management, University of Aarhus - 2008
This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...
Persistent link: https://www.econbiz.de/10005440044
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On the Economic Evaluation of Volatility Forecasts
Voev, Valeri - School of Economics and Management, University of Aarhus - 2009
evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …
Persistent link: https://www.econbiz.de/10008491711
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The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts
Varneskov, Rasmus Tangsgaard; Voev, Valeri - School of Economics and Management, University of Aarhus - 2010
been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data … address, is the relative importance of the quality of the realized measure as an input in a given forecasting model vs. the …
Persistent link: https://www.econbiz.de/10008462028
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Forecasting Covariance Matrices: A Mixed Frequency Approach
Halbleib, Roxana; Voev, Valeri - School of Economics and Management, University of Aarhus - 2011
This paper proposes a new method for forecasting covariance matrices of financial returns. The model mixes volatility …
Persistent link: https://www.econbiz.de/10008802540