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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…
stat.AP2014
Modelling and Forecasting the Realized Range Conditional Quantiles
Giovanni Bonaccolto, Massimiliano Caporin
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise a…