Varneskov, Rasmus Tangsgaard; Voev, Valeri - School of Economics and Management, University of Aarhus - 2010
Recently, consistent measures of the ex-post covariation of financial assets based on noisy high-frequency data have been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data based covariance measures. The aim of this paper is to...
