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

This paper proposes a new method for forecasting covariance matrices of financial returns. The model mixes volatility …

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 …