Long and Short–Run Dynamics in Realized Covariance Matrices: A Robust MIDAS Approach

Luca, Scafldi Domianello; Otranto, Edoardo

doi:10.1007/978-3-031-39864-3_14

Springer Proceedings in Mathematics &Amp; Statistics

2023

DOI: 10.1007/978-3-031-39864-3_14

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Long and Short–Run Dynamics in Realized Covariance Matrices: A Robust MIDAS Approach

Scafldi Domianello Luca,

Edoardo Otranto

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Long and Short–Run Dynamics in Realized Covariance Matrices: A Robust MIDAS Approach

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References 19 publications

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