Department of Economics and Business Economics

The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts

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The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. / Varneskov, Rasmus T.; Voev, Valeri Radkov.

In: Journal of Empirical Finance, Vol. 20, No. January, 2013, p. 83-95.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Varneskov, Rasmus T. ; Voev, Valeri Radkov. / The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. In: Journal of Empirical Finance. 2013 ; Vol. 20, No. January. pp. 83-95.

Bibtex

@article{3dd47410d01149a498ce6b3d594ec3af,
title = "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts",
author = "Varneskov, {Rasmus T.} and Voev, {Valeri Radkov}",
year = "2013",
doi = "10.1016/j.jempfin.2012.11.002",
language = "English",
volume = "20",
pages = "83--95",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier BV",
number = "January",

}

RIS

TY - JOUR

T1 - The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts

AU - Varneskov, Rasmus T.

AU - Voev, Valeri Radkov

PY - 2013

Y1 - 2013

U2 - 10.1016/j.jempfin.2012.11.002

DO - 10.1016/j.jempfin.2012.11.002

M3 - Journal article

VL - 20

SP - 83

EP - 95

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - January

ER -