allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from … long memory in conditional volatilities and not from long memory in conditional correlation …

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the … volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …