Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2024-11-03
Number: 24-059/III
Author-Name: Laura Capera Romero
Author-Workplace-Name: Vrije Universiteit Amsterdam and Tinbergen Institute
Author-Name: Anne Opschoor
Author-Workplace-Name: Vrije Universiteit Amsterdam and Tinbergen Institute
Title: Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting
Abstract:
Classification-JEL: C32, C58, G17
Keywords: multivariate volatility, high-frequency data, realized variances, realized correlations
File-URL: https://papers.tinbergen.nl/24059.pdf
File-Format: application/pdf
File-Size: 506.124 bytes
Handle: RePEc:tin:wpaper:20240059