In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications. As a result,...

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...