Dynamic partial (co)variance forecasting model

DOI10.1080/14697688.2024.2342896zbMath1542.91373MaRDI QIDQ6587740

Yao Zhou, Unnamed Author

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)

Cites Work

• The Model Confidence Set
• Modelling structural breaks, long memory and stock market volatility: an overview
• Generalized autoregressive conditional heteroscedasticity
• From zero to hero: realized partial (co)variances
• The Volatility of Realized Volatility
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Realized Semicovariances

This page was built for publication: Dynamic partial (co)variance forecasting model