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Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
In: CREATES Research Papers.
RePEc:aah:create:2016-10.

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  1. Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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  2. Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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  3. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan.
    In: Papers.
    RePEc:arx:papers:1709.06296.

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  4. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:582.

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  5. The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Tetereva, Anastasija ; Okhrin, Ostap.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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  6. On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0636.

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  7. 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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  49. Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). Liao, Yin ; Anderson, Heather.
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