From zero to hero: realized partial (co)variances

DOI10.1016/j.jeconom.2021.04.013OpenAlexW3211688619MaRDI QIDQ2106366

Marcelo C. Medeiros, Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg

Publication date: 14 December 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.04.013

zbMATH Keywords

high-frequency datavolatility forecastingrealized variation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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