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Forecasting comparison of long term component dynamic models for realized covariance matrices. (2014). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc.
In: CORE Discussion Papers.
RePEc:cor:louvco:2014053.

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  1. A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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  2. 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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  3. Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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  4. Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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  5. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2020034.

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  6. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:202007.

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  7. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: MPRA Paper.
    RePEc:pra:mprapa:93802.

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  8. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2019025.

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  9. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: Working Paper series.
    RePEc:rim:rimwps:18-02.

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  10. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:81920.

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  11. Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138..

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  12. 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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  13. A time-varying long run HEAVY model. (2016). Braione, Manuela.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:119:y:2016:i:c:p:36-44.

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  14. Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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  15. Bayesian Semiparametric Modeling of Realized Covariance Matrices. (2014). Maheu, John ; Jin, Xin.
    In: Working Paper series.
    RePEc:rim:rimwps:34_14.

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  16. Bayesian Semiparametric Modeling of Realized Covariance Matrices. (2014). Maheu, John ; Jin, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:60102.

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References

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  31. Web Appendix to Forecasting Comparison of Long Term Component Dynamic Models For Realized Covariance Matrices November 19, 2014 Luc Bauwens1 Universit e catholique de Louvain, CORE, B-1348 Louvain-La-Neuve, Belgium; University of Johannesburg, Department of Economics and Econometrics, Johannesburg, South Africa. luc.bauwens@uclouvain.be Manuela Braione1 Universit e catholique de Louvain, CORE, B-1348 Louvain-La-Neuve, Belgium manuela.braione@uclouvain.be Giuseppe Storti Universit` a di Salerno Department of Economics and Statistics, Fisciano, Italy storti@unisa.it Keywords: Realized covariance, component dynamic models, MIDAS, minimum variance portfolio, model confidence set, Value-at-Risk. JEL Classification: C13, C32, C58. Luc Bauwens and Manuela Braione acknowledge support of the ”Communaut e francaise de Belgique” through contract ”Projet d’Actions de Recherche Concert ees” 12/17-045”, granted by the ”Acad emie universitaire Louvain”.
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  3. Forecasting comparison of long term component dynamic models for realized covariance matrices. (2014). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  4. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
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  11. Multivariate Rotated ARCH models. (2012). Shephard, Neil ; Noureldin, Diaa ; Sheppard, Kevin.
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