SSRNEconometrics & Forecasting
Asset Return Covariance Forecasting with Errors
The study introduces new models for predicting the covariance of asset returns, taking into account measurement errors and maintaining high volatility and correlation persistence.
Featured in No. 11 on 9 Aug 2023 ·
- Released
- 10 Apr 2021
- First featured
- No. 11 · 9 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 72
- Identifier
- SSRN 4533182
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