forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …’s seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …