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Econometric Reviews Volume 37, 2018 - Issue 2
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Original Articles

Modeling and forecasting realized covariance matrices with accounting for leverage

Stanislav AnatolyevNew Economic School, Moscow, RussiaCorrespondence[email protected]
&
Nikita KobotaevNew Economic School, Moscow, Russia
Pages 114-139 | Published online: 21 Dec 2015

Citations (17)

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Read on this site (4)

Gustav Alfelt, Taras Bodnar, Farrukh Javed & Joanna Tyrcha. (2023) Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices. Journal of Business & Economic Statistics 41:3, pages 833-845.
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Gustav Alfelt, Taras Bodnar & Joanna Tyrcha. (2020) Goodness-of-fit tests for centralized Wishart processes. Communications in Statistics - Theory and Methods 49:20, pages 5060-5090.
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Yaojie Zhang, Yu Wei & Li Liu. (2019) Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. Quantitative Finance 19:9, pages 1425-1438.
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Prateek Sharma & Vipul. (2016) Economic benefits of using realized covariance forecasts in risk-based portfolios. Applied Economics 48:6, pages 502-516.
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Articles from other publishers (13)

Stanislav Anatolyev & Filip Staněk. (2023) Unrestricted, restricted, and regularized models for forecasting multivariate volatility. Studies in Nonlinear Dynamics & Econometrics 27:2, pages 199-218.
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Cem ÇAKMAKLI, Anıl DİVARCI ÇAKMAKLI & Han ÖZSÖYLEV. (2023) Getiri Dağılımı Tahmininin Ekonomik DeğeriEconomic Value of Prediction of Return Distribution. Ekonomi, Politika & Finans Araştırmaları Dergisi 8:1, pages 40-58.
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Hui Qu & Yi Zhang. (2022) Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. Economic Modelling 106, pages 105699.
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Hideto Shigemoto & Takayuki Morimoto. (2020) An integrated framework for visualizing and forecasting realized covariance matrices. Japanese Journal of Statistics and Data Science 4:1, pages 577-599.
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Tim Bollerslev, Andrew J. Patton & Rogier Quaedvlieg. (2020) Multivariate leverage effects and realized semicovariance GARCH models. Journal of Econometrics 217:2, pages 411-430.
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Jiawen Luo & Langnan Chen. (2020) Realized volatility forecast with the Bayesian random compressed multivariate HAR model. International Journal of Forecasting 36:3, pages 781-799.
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Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert & Taras Lazariv. (2020) Statistical inferences for realized portfolio weights. Econometrics and Statistics 14, pages 49-62.
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Jiawen Luo & Langnan Chen. (2019) Multivariate realized volatility forecasts of agricultural commodity futures. Journal of Futures Markets 39:12, pages 1565-1586.
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Shuran Zhao, Jinchen Li, Yaping Jiang & Peimin Ren. (2019) The economic value of using CAW-type models to forecast covariance matrix. China Finance Review International 9:3, pages 338-359.
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Hideto Shigemoto & Takayuki Morimoto. (2021) Constructing a Realized DCC Model with Measurement Errors. SSRN Electronic Journal.
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Alexander Kostrov & Anastasija Tetereva. (2019) Forecasting Realized Correlations: A MIDAS Approach. SSRN Electronic Journal.
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Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert & Taras Lazariv. (2018) Statistical Inferences for Realized Portfolio Weights. SSRN Electronic Journal.
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Tim Bollerslev, Andrew J. Patton & Rogier Quaedvlieg. (2018) Multivariate Leverage Effects and Realized Semicovariance GARCH Models. SSRN Electronic Journal.
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