Modeling Realized Covariances and Returns

By Xin Jin, John M. Maheu. 2013

104 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/60924ce7c85fb81ce3faac1bb02fcd8b7f9bb513

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Economics and Econometrics

In Finance

Citations in the corpus

New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “Note that there is a slight difference between (5) and the models of Jin and Maheu (2013) and Corsi (2009) as we put the “HARdynamics” on Vt rather than on RCt .”
Bayesian forecasting in economics and finance: A modern review (2022, background): “202315); other work combines ‘low-frequency’ daily observations on returns with high-frequency measures of volatility and/or price jumps to predict (in some combination) returns, volatility, and the size and occurrence of price jumps (Jin and Maheu, 2013; Maneesoonthorn et al., 2017; Frazier et al.,”
Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, unknown): “For instance, optimal allocation is greatly affected by the parameter uncertainty, which has been recognized in a number of papers, see Jorion (1986) and Greyserman et al.”
High-Dimensional Copula-Based Distributions with Mixed Frequency Data (2016, unknown): “Papers that employ models for the joint distribution of returns that include a covariance modelling step include Chiriac and Voev (2011), Jondeau and Rockinger (2012), Hautsch, et al. (2013), and Jin and Maheu (2013).”
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016, methodology): “Jin and Maheu (2013) used realized measures to improve the density forecasts of multivariate daily returns.”
Bayesian semiparametric modeling of realized covariance matrices (2016, methodology): “This is a slightly different specification than Jin & Maheu (2013) which leads to better empirical performance.”