Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies

C-Tier

Journal: Journal of Empirical Finance

Year: 2025

Volume: 81

Issue: C

Authors (4)

Luo, Jiawen (not in RePEc) Cepni, Oguzhan (not in RePEc) Demirer, Riza (Southern Illinois University) Gupta, Rangan (not in RePEc)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count