Wen Xu

Capital University of Economics and Business-International School of Economics and Management

Beijing

China

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Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Kevin Sheppard and Wen Xu
University of Oxford - Department of Economics and Capital University of Economics and Business-International School of Economics and Management
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Abstract:

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Conditional Beta, Conditional Covariance, Forecasting, HEAVY, Marginal Expected Shortfall, Realized Covariance, Realized Kernel, Systematic Risk