University of Cologne - Department of Econometrics and Statistics
Component volatility models, Covariance matrix, Mixed data sampling, Observation-driven models, Realized volatility
Conditional autoregressive Wishart model, Impulse Response Analysis, Observation-driven models, Realized covariance matrix
forecast combination, minimum variance portfolio, realized covariance matrix, variance change
Efficient Importance Sampling, Intraday Stochastic Volatility, Mixed Frequency, Realized Volatility.
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