We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

Ambiguity surrounds any importance measure in cases in which predictor variables are correlated. However, a new measure is proposed that has attractive properties, such as providing individual contributions that are both non-negative and sum to R2. The new measure is compared with four other...