A Simple Method for Predicting Covariance Matrices of Financial Returns makes three contributions. It proposes a new method for predicting the time-varying covariance matrix of a vector of financial returns and a new method for evaluating a covariance predictor. The third contribution is an extensive empirical study of covariance predictors.
A Simple Method for Predicting Covariance Matrices of Financial Returns makes three contributions. It proposes a new method for predicting the time-varying covariance matrix of a vector of financial returns and a new method for evaluating a covariance predictor. The third contribution is an extensive empirical study of covariance predictors.