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Forecasting comparison of long term component dynamic models for realized covariance matrices. (2016). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela.
In: CORE Discussion Papers RP.
RePEc:cor:louvrp:2923.

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  1. Forecasting Realized Covariances Using HAR-Type Models. (2024). Quiroz, Matias ; Manner, Hans ; Tafakori, Laleh.
    In: Graz Economics Papers.
    RePEc:grz:wpaper:2024-20.

    Full description at Econpapers || Download paper

  2. Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans.
    In: Papers.
    RePEc:arx:papers:2412.10791.

    Full description at Econpapers || Download paper

  3. DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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  4. Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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  5. Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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  6. A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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  7. A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela.
    In: Working Papers.
    RePEc:sep:wpaper:3_234.

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  8. Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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  9. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2020034.

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  10. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:202007.

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  11. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: MPRA Paper.
    RePEc:pra:mprapa:93802.

    Full description at Econpapers || Download paper

  12. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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  13. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2019025.

    Full description at Econpapers || Download paper

  14. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: Working Paper series.
    RePEc:rim:rimwps:18-02.

    Full description at Econpapers || Download paper

  15. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:81920.

    Full description at Econpapers || Download paper

  16. A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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  17. A time-varying long run HEAVY model. (2016). Braione, Manuela.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:119:y:2016:i:c:p:36-44.

    Full description at Econpapers || Download paper

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