From zero to hero: realized partial (co)variances

DOI10.1016/J.JECONOM.2021.04.013MaRDI QIDQ2106366zbMATH OpenOpenAlexFDO

Authors Tim Bollerslev, Marcelo C. Medeiros, 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)

Cites work

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Cited in

(2)

• Dynamic partial (co)variance forecasting model
• Tail behavior of ACD models and consequences for likelihood-based estimation

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