This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

In market share analysis, it is well recognized that we have often inadmissible predicted marketshare, which means that some of predictors take the values outside the range [0, 1] and the totalsum of predicted shares is not always one, so called logical inconsistency. In this article, basedon...

This paper addresses heterogeneity in determinants of economic growth in a data-driven way. Instead of defining groups of countries with different growth characteristics a priori, based on, for example, geographical location, we use a finite mixture panel model and endogenous clustering to...

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...