Halbleib, Roxana; Voev, Valeri - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2012
In this paper we introduce a new method of forecasting covariance matrices of large dimensions by exploiting the theoretical and empirical potential of using mixed-frequency sampled data. The idea is to use high-frequency (intraday) data to model and forecast daily realized volatilities combined...