-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on … clearly dominate the benchmark case of identity shrinkage in terms of out-of-sample volatility. Chapter 3 bridges the gap … kann. Diese Arbeit führt drei Methoden ein, die es zum Ziel haben, jene Defizite zu beseitigen. Kapitel 1 addressiert die …

chapter evaluates the role of the United States as a source of important spillover information in forecasting realised … volatility for a large cross-section of international equity markets. For this purpose, we extend the heterogeneous … autoregressive (HAR) model of realised volatility of Corsi (2009) by including US equity volatility information. More precisely, we …