forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …