We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …

This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction … proposed model has two different instantaneous volatility processes for the open-to-close and close-to-open periods, while each … volatility matrices and study its asymptotic properties.A simulation study is conducted to check the finite sample performance of …

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …

-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP …