Covariance forecasting in equity markets

Symitsi, E orcid.org/0000-0001-6371-4156, Symeonidis, L, Kourtis, A et al. (1 more author) (2018) Covariance forecasting in equity markets. Journal of Banking & Finance, 96. pp. 153-168. ISSN 0378-4266

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Copyright, Publisher and Additional Information: © 2018 Published by Elsevier B.V. This is an author produced version of a paper published in Journal of Banking & Finance. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Covariance forecasting; High-frequency data; Implied volatility; Asset allocation; Risk-return trade-off
Dates:
  • Published: November 2018
  • Accepted: 26 August 2018
  • Published (online): 3 September 2018
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 24 Oct 2018 12:46
Last Modified: 03 Mar 2020 01:40
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.jbankfin.2018.08.013

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