Modeling and forecasting realized covariance matrices with accounting for leverage-Reference-Cited by-同舟云学术

Modeling and forecasting realized covariance matrices with accounting for leverage

Published:2015-12-21 Issue:2 Volume:37 Page:114-139
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Anatolyev Stanislav¹,Kobotaev Nikita¹

Affiliation:

1. New Economic School, Moscow, Russia

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2015.1035165

Reference26 articles.

1. Modeling and Forecasting Realized Volatility

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3. Forecasting multivariate realized stock market volatility

4. Black, F. (1976). Studies in stock price volatility changes. In: Proceedings of the 1976 Meeting of the American Statistical Association, Business and Economics Statistics Section, pp. 177–181.

5. A Capital Asset Pricing Model with Time-Varying Covariances

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