has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we …

In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic … implemented. The increased availability of high-frequency data provides new tools for forecasting variances and covariances … between assets. However, there is scant literature on forecasting more than one realised volatility. Following Gourieroux …

HAR components in the model improve the point forecasting accuracy while the introduction of asymmetric effects only leads …

begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …

begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …