The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

section compares stochastic volatility models with GARCH. …

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …

Various parametric volatility models for financial data have been developed to incorporate high-frequency realized …-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss … an overnight volatility model based on It\^o diffusions to accommodate two different instantaneous volatility processes …

volatility (SV) models. Whenever structural changes in some model parameters increase the empirical auto correlations of the … squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit …. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the …

volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the … squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit …. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model based on … returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003 …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …