0478479 20240103214544.320170925235959.9 84966539553 000394909900006 10.1002/for.2423 26 s. P cav_un_epca*02512420277-6693361 (2017)181-206Wiley Multivariate volatility realized covariance portfolio optimisation cav_un_auth*0344057 Čech František Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/barunik-0478479.pdf cav_un_auth*0292677 GA13-32263S GA ČR Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast a realized covariance matrix to capture this information. We find that the newly proposed gener- alized heterogeneous autoregressive (GHAR) model outperforms competing approaches in terms of economic gains, providing better mean–variance trade-off, while, in terms of statistical precision, GHAR is not substantially dominated by any other model. Our results provide a comprehensive comparison of the performance when realized covariance, subsampled realized covariance and multivariate realized kernel estimators are used. We study the contribution of the estimators across different sampling frequencies, and show that the multivariate realized kernel and subsampled real- ized covariance estimators deliver further gains compared to realized covariance estimated on a 5-minute frequency. In order to show economic and statistical gains, a portfolio of various sizes is used. AH 50000 50200 50201 2018 2 RVO:67985556 http://hdl.handle.net/11104/0274596 cav_un_auth*0308308 Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague IES FSV UK CZ S 1 Article Economics|Management 1 Article Economics|Management 1 Article Economics|Management ECONOMICS|MANAGEMENT 1.210 0.343 13.6 0.00156 0.493 1413 0.792 0.879 67 Q3 34.921 26.4 Q3 Q2 0.46 Q3 37.819 2017 84966539553 SCOPUS PUBMED 000394909900006 WOS cav_un_epca*0251242 Journal of Forecasting 0277-6693 1099-131X Roč. 36 č. 1 2017 181 206 Wiley