Nikita Kobotaev

Independent

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Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage

Econometric Reviews, Forthcoming
Number of pages: 50 Posted: 11 Feb 2015
Stanislav Anatolyev and Nikita Kobotaev
New Economic School and Independent
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Abstract:

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volatility, realized covariance matrix, leverage, conditional Wishart