Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … realized covariance matrices almost as precisely as if we had known the true driving dynamics of these in advance. We next … investigate the sources of these driving dynamics for the realized covariance matrices of the 30 Dow Jones stocks and find that …