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Dynamic conditional correlation models for realized covariance matrices

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228 cited

2009Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns211 cited

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2016Positive semidefinite integrated covariance estimation, factorizations and asynchronicity30 cited
2019Multivariate GARCH models for large-scale applications: A survey29 cited
2012Managing Risk with a Realized Copula Parameter27 cited
2020A Model Confidence Set approach to the combination of multivariate volatility forecasts25 cited
2022DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations25 cited
2016A dynamic component model for forecasting high-dimensional realized covariance matrices23 cited
2016Risk and uncertainty0 cited