Improving forecasting performance of realized covariance...

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Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value

Zhang, Yaojie, Wei, Yu, Liu, Li
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Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1585561
Date:
April, 2019
File:
PDF, 946 KB
2019
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