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Realized Wishart-GARCH : a score-driven multi-asset volatility model

Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012054424

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

Fractional integration and fat tails for realized covariance kernels

Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90

Persistent link: https://www.econbiz.de/10012054426

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

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 …

Persistent link: https://www.econbiz.de/10010259630