We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....