time-varying covariance matrix of the multivariate Student's t distribution. The key novelty of our proposed model concerns …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann … tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …