predict realized correlations. This paper considers a MIDAS approach to forecast realized correlation matrices. A MIDAS model …

-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS …

weight, we develop two simple and effective forecast combination methods. Using an array of 86 equity, bond, forex, futures … realized volatility out-of-sample prediction performance relative to several extant forecast combinations. This result is … robust for different individual forecast models, for different dependent variables, and for different out-of-sample periods …

forecast accuracy are small, with predictability varying substantially across forecast horizons and commodity indices, but they …

attracted attention in the literature on the price variability of energy markets. However, results that would guide … commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …