Navegação por Assunto "Realized semicovariances"
Resultados 1-2 de 2
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Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
(2023) [Artigo de periódico]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 ... -
Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
(2021) [Dissertação]This is an empirical study split in two parts aimed to explain and forecast realized portfolio volatility and perform portfolio optimization in the Brazilian financial market using realized semicovariances that use ...