This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical applica
Modelling and forecasting noisy realized volatility
β Scribed by Manabu Asai; Michael McAleer; Marcelo C. Medeiros
- Book ID
- 113557668
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 297 KB
- Volume
- 56
- Category
- Article
- ISSN
- 0167-9473
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