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A Similarity-based Approach to Covariance Forecasting

https://doi.org/10.2139/ssrn.4652980
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.2509openalex-extracted
Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model
inferredcites →https://doi.org/10.1002/jae.1152openalex-extracted
Modelling and forecasting multivariate realized volatility
inferredcites →https://doi.org/10.1002/jae.842openalex-extracted
Multivariate GARCH models: a survey
inferredcites →https://doi.org/10.1002/widm.1249openalex-extracted
Ensemble learning: A survey
inferredcites →https://doi.org/10.1007/11871842_51openalex-extracted
Ensembles of Nearest Neighbor Forecasts
inferredcites →https://doi.org/10.1016/j.ijforecast.2015.10.004openalex-extracted
Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
inferredcites →https://doi.org/10.1016/j.ijforecast.2016.05.001openalex-extracted
Global equity market volatility spillovers: A broader role for the United States
inferredcites →https://doi.org/10.1016/j.ijforecast.2020.06.012openalex-extracted
Multivariate volatility forecasts for stock market indices
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.12.009openalex-extracted
The empirical similarity approach for volatility prediction
inferredcites →https://doi.org/10.1016/j.jbankfin.2018.08.013openalex-extracted
Covariance Forecasting in Equity Markets
inferredcites →https://doi.org/10.1016/j.jeconom.2016.04.011openalex-extracted
High-dimensional copula-based distributions with mixed frequency data
inferredcites →https://doi.org/10.1016/j.jeconom.2018.05.004openalex-extracted
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
inferredcites →https://doi.org/10.1016/j.jimonfin.2017.05.006openalex-extracted
Forecasting oil price realized volatility using information channels from other asset classes
inferredcites →https://doi.org/10.1037/e471672008-001openalex-extracted
Discriminatory analysis: Nonparametric discrimination: Consistency properties
inferredcites →https://doi.org/10.1080/02664760802271017openalex-extracted
ARFIMAX and ARFIMAX-TARCH realized volatility modeling
inferredcites →https://doi.org/10.1080/713665670openalex-extracted
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1093/acprof:oso/9780190241148.001.0001openalex-extracted
Asset Pricing and Portfolio Choice Theory
inferredcites →https://doi.org/10.1093/jjfinec/nbp001openalex-extracted
A Simple Approximate Long-Memory Model of Realized Volatility
inferredcites →https://doi.org/10.1093/rfs/12.5.937openalex-extracted
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
inferredcites →https://doi.org/10.1109/ijcnn.2015.7280809openalex-extracted
Maximum Length Weighted Nearest Neighbor approach for electricity load forecasting
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1146/annurev-financial-110311-101808openalex-extracted
Regime Changes and Financial Markets
inferredcites →https://doi.org/10.1162/rest.88.3.433openalex-extracted
Empirical Similarity
inferredcites →https://doi.org/10.1162/rest_a_00503openalex-extracted
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
inferredcites →https://doi.org/10.1287/mnsc.2024.08294openalex-extracted
Forecasting and Managing Correlation Risks
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2139/ssrn.2732498openalex-extracted
Global Equity Market Volatility Spillovers: A Broader Role for the United States
inferredcites →https://doi.org/10.2139/ssrn.2759388openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4274989openalex-extracted
inferredcites →https://doi.org/10.2307/1403797openalex-extracted
Discriminatory Analysis. Nonparametric Discrimination: Consistency Properties
inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted
Global Portfolio Optimization
inferredcites →https://doi.org/10.3386/w7039openalex-extracted
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
inferredcites →https://doi.org/10.3905/jfds.2022.1.110openalex-extracted
Relevance-Based Prediction: A Transparent and Adaptive Alternative to Machine Learning
inferredcites →https://doi.org/10.3982/ecta5771openalex-extracted
The Model Confidence Set
inferredcites →https://doi.org/10.1093/jjfinec/nbae026openalex-snapshot
Graph-Based Methods for Forecasting Realized Covariances
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