Wen Xu

University of Oxford - Department of Economics

Manor Road Building

Manor Road

Oxford, OX1 3BJ

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

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Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Kevin Sheppard and Wen Xu
University of Oxford - Department of Economics and University of Oxford - Department of Economics
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Abstract:

Conditional Beta, Conditional Covariance, Forecasting, HEAVY, Marginal Expected Shortfall, Realized Covariance, Realized Kernel, Systematic Risk