-sample forecasting regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly …

evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …

Forecasting using factor models based on large data sets have received ample attention due to the models’ ability to …

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 …