Realized semicovariances: Empirical applications to volatility forecasting and portfolio optimization
Rafael Ricco,
Flavio A. Ziegelmann
Abstract:We propose a two-fold empirical study applying the concept of realized semicovariances as introduced by Bollerslev et al. (2020): in the first part of the paper we aim to estimate and forecast the realized volatility of an equally weighted portfolio formed by Brazilian B3 asset returns, whereas in the second part we search and find an optimum portfolio for these returns. In both parts we use high frequency data of ten assets from different segments and among the most negotiated in B3 financial market from July… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.