24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting

• Authors
  Laura Capera Romero, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam
• Publication date
  September 20, 2024

• Keywords
  multivariate volatility, high-frequency data, realized variances, realized correlations
• JEL
  C32, C58, G17