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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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Cited: 7

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  1. Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick.
    In: Empirical Economics.
    RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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  2. Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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  3. Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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  4. Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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  5. A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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  6. 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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  7. Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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References

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