Forecasting multivariate realized stock market volatility

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 93-101

  Bauer, Gregory H ^a   Vorkink, Keith ^b  

^a BANK OF CANADA   (Canada)

^b 667 TNRB ^*  (United States)

Author keywords

Covariance matrix; Factor model; HAR RV model; Realized volatility

Indexed keywords

FACTOR MODEL; HAR-RV MODEL; LATENT FACTOR; LOGARITHM MODEL; MATRIX; REALIZED VOLATILITY; STOCK MARKET VOLATILITY; STOCK RETURNS;

ALGEBRA;

COVARIANCE MATRIX;

EID: 78649726632     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.021     Document Type: Conference Paper

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