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Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
In: CREATES Research Papers.
RePEc:aah:create:2014-05.

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  1. A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela.
    In: Working Papers.
    RePEc:sep:wpaper:3_234.

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  2. Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2016041.

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  3. Predicting volatility and correlations with Financial Conditions Indexes. (2014). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:435-447.

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