Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …