Dynamic partial (co)variance forecasting model

DOI10.1080/14697688.2024.2342896zbMATH Open1542.91373MaRDI QIDQ6587740FDOQ6587740

Authors: Yao Zhou 

Publication date: 14 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

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Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• The Model Confidence Set
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modelling structural breaks, long memory and stock market volatility: an overview
• Forecasting inflation using dynamic model averaging
• The Volatility of Realized Volatility
• From zero to hero: realized partial (co)variances
• Realized semicovariances

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