Forecasting multivariate realized stock market volatility

DOI10.1016/j.jeconom.2010.03.021zbMath1441.62601OpenAlexW2084264176MaRDI QIDQ737267

Keith Vorkink, Gregory H. Bauer

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

zbMATH Keywords

covariance matrixfactor modelrealized volatilityHAR-RV model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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