models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

, a state-dependent diffusion correlation combined with heterogeneity in jump intensities and volatilities can, e …