Dynamic partial (co)variance forecasting model

DOI10.1080/14697688.2024.2342896MaRDI QIDQ6587740zbMATH OpenFDO

Authors Yao Zhou

Publication date 14 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

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

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Cites work

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

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