This paper proposes a dynamic framework for modeling and forecasting of realized covariance matrices using vine copulas to allow for more flexible dependencies between assets. Our model automatically guarantees positive definiteness of the forecast through the use of a Cholesky decomposition of...

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...