Halbleib, Roxana; Voev, Valeri - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 134-152
Summary This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariance matrices, the model...