Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...