3 papers
stat.AP2026
Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
Massimiliano Caporin, Daniele Girolimetto, Emanuele Lopetuso
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge o…
econ.EM2026
The Cointegrated Matrix Autoregressive Model
Emanuele Lopetuso, Massimiliano Caporin
Traditional econometric analyzes represent observations as vectors despite the inherent complexity of empirical data structures. When data are organized along dual classification d…
stat.ME2023
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach
Massimiliano Caporin, Tommaso Di Fonzo, Daniele Girolimetto
We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. By using data referred to the D…