Asai, Manabu; McAleer, Michael - 2014
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 …