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• W2057854588 abstract "This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The main method of model comparison consists of a term-structure of density forecasts of returns for multiple forecast horizons. The new joint return-RCOV models provide superior density forecasts for returns from forecast horizons of 1 day to 3 months ahead as well as improved point forecasts for realized covariances. Global minimum variance portfolio selection is improved for forecast horizons up to 3 weeks out." @default.
• W2057854588 created "2016-06-24" @default.
• W2057854588 creator A5029338054 @default.
• W2057854588 creator A5056316317 @default.
• W2057854588 date "2012-11-22" @default.
• W2057854588 modified "2023-09-30" @default.
• W2057854588 title "Modeling Realized Covariances and Returns" @default.
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• W2057854588 doi "https://doi.org/10.1093/jjfinec/nbs022" @default.
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