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...

The estimation of the covariances of high-frequency asset prices is problematic because of asynchronous trading and market microstructure noise. In the last years, both parametric and non-parametric methods have been proposed in order to handle these effects. Little attention has instead been...

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...