Modeling and forecasting realized covariance matrices with accounting for leverage

DOI10.1080/07474938.2015.1035165zbMath1490.62413OpenAlexW2056505964MaRDI QIDQ5034242

Nikita Kobotaev, Stanislav Anatolyev

Publication date: 24 February 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.nes.ru/files/Preprints-resh/WP213.pdf

zbMATH Keywords

leveragerealized volatilityvolatility forecastingMIDASCAW

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (6)

An integrated framework for visualizing and forecasting realized covariance matrices ⋮ Goodness-of-fit tests for centralized Wishart processes ⋮ Multivariate leverage effects and realized semicovariance GARCH models ⋮ Unrestricted, restricted, and regularized models for forecasting multivariate volatility ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Closed-form estimator for the matrix-variate Gamma distribution

Cites Work

• The Model Confidence Set
• The Wishart autoregressive process of multivariate stochastic volatility
• Forecasting multivariate realized stock market volatility
• Volatility forecast comparison using imperfect volatility proxies
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Modeling and Forecasting Realized Volatility

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