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How Predictable Are Equity Covariance Matrices? Evidence from High-Frequency Data for Four Markets

Maggie Chen, Mike Buckle, Julian Williams, Mike Buckle Orcid Logo

Journal of Forecasting, Volume: 33, Issue: 7, Pages: 542 - 557

Swansea University Authors: Maggie Chen, Mike Buckle Orcid Logo

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DOI (Published version): 10.1002/for.2310

Published in: Journal of Forecasting
Published: 2014
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Item Description: Forthcoming
College: Faculty of Humanities and Social Sciences
Issue: 7
Start Page: 542
End Page: 557