Showing 11 - 20 of 232
Persistent link: https://www.econbiz.de/10013204387
Persistent link: https://www.econbiz.de/10013185161
This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
Persistent link: https://www.econbiz.de/10012697796
Persistent link: https://www.econbiz.de/10012795928
Persistent link: https://www.econbiz.de/10012666157
Persistent link: https://www.econbiz.de/10012493300
Persistent link: https://www.econbiz.de/10012230265
Persistent link: https://www.econbiz.de/10012285753
Persistent link: https://www.econbiz.de/10012290846
Persistent link: https://www.econbiz.de/10011671484