Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien - In: International Journal of Forecasting 29 (2013) 2, pp. 244-257
Large one-off events cause large changes in prices, but may not affect the volatility and correlation dynamics as much as smaller events. In such cases, standard volatility models may deliver biased covariance forecasts. We propose a multivariate volatility forecasting model that is accurate in...