Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …