most citedModeling and evaluating conditional quantile dynamics in VaR forecasts

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q-fin.ST2020

A dynamic conditional approach to portfolio weights forecasting

Fabrizio Cipollini, Giampiero M. Gallo, Alessandro Palandri

We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is be…