Showing 1 - 10 of 14,022
Persistent link: https://www.econbiz.de/10012509995
Persistent link: https://www.econbiz.de/10011624131
Persistent link: https://www.econbiz.de/10010365630
We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...
Persistent link: https://www.econbiz.de/10012915984
Persistent link: https://www.econbiz.de/10012194800
Persistent link: https://www.econbiz.de/10013432837
Persistent link: https://www.econbiz.de/10003066199
Persistent link: https://www.econbiz.de/10012302521
Persistent link: https://www.econbiz.de/10012031043
Persistent link: https://www.econbiz.de/10003908058