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Bauer et al., 2011 - Google Patents

Forecasting multivariate realized stock market volatility

Bauer et al., 2011

Document ID
10826407646476525486
Author
Bauer G
Vorkink K
Publication year
Publication venue
Journal of Econometrics

External Links

Snippet

We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of lagged volatility, lagged returns and other forecasting variables. The model has several advantages: it is parsimonious; it does …
Continue reading at www.sciencedirect.com (other versions)

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