Forecasting time-varying covariance with a range-based dynamic conditional correlation model

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Forecasting: theory and practice (2020, methodology): “he multivariate volatility models leads to more accurate forecasts of covariance or covariance matrix of ﬁnancial returns than the forecasts from the models based on closing prices (see, for example, Chou et al., 2009 for the RB DCC model; Harris and Yilmaz, 2010 for the hybrid EWMA model; Fiszeder,”