Modeling and Forecasting Realized Covariance

近年来，已实现波动率的分析越来越受到人们的关注。对于已实现协方差，即已实现方差的多元版本，我提出了几个新的模型，并与现有模型进行了预测性能的比较。笔者发现，新模型提高了金融资产组合风险的可预测性。

Recent years, there has been growing attentions on the analysis of realized volatility. Regarding realized covariance, which is the multivariate version of realized variance, I suggested several new models and compared forecasting performances with existing models. I found that the new models improve the predictability of portfolio risk of financial assets.