Danilo Vassallo

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Scholarly Papers (1)

1.

A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics

Number of pages: 33 Posted: 08 Jan 2019 Last Revised: 12 Jul 2019
Danilo Vassallo, Giuseppe Buccheri and Fulvio Corsi
Scuola Normale Superiore, Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 27 (476,022)

Abstract:

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Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction