correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 …

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past … realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in … impose the same dynamics to the variance and covariance processes (namely, BEKK-type models), whereas for the dataset of …