Forecasting multivariate realized stock market volatility
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Publication:737267
DOI10.1016/J.JECONOM.2010.03.021zbMATH Open1441.62601OpenAlexW2084264176MaRDI QIDQ737267FDOQ737267
Authors: Gregory H. Bauer, Keith Vorkink 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.021
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (44)
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
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- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
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- A multivariate volatility vine copula model
- 24-hour realized volatilities and transatlantic volatility interdependence
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Forecasting market states
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- On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model
- Matrix exponential stochastic volatility with cross leverage
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
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- Forecasting volatility for the stock market: a new hybrid model
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- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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- The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
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- Forecasting high-dimensional realized volatility matrices using a factor model
- Dynamic modeling of high-dimensional correlation matrices in finance
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- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
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