We propose a class of score-driven realized covariance models where volatilities and correlations are separately estimated. We can thus combine univariate realized volatility models with a recently introduced class of score-driven realized covariance models based on Wishart and matrix-F...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...