Antonio Riccardo

ICE Data Services Italy

Via Cristoforo Colombo, 149

Rome, 00147

Italy

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Scholarly Papers (1)

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Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector

CEIS Working Paper No. 445
Number of pages: 27 Posted: 06 Nov 2018
Gianluca Cubadda, Alain Hecq and Antonio Riccardo
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and ICE Data Services Italy
Downloads 47 (412,823)

Abstract:

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Common volatility, long-memory processes, HAR models, index models, forecasting.