We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...

We elaborate on a new distributional scheme resulting from the generalized Pearson distribution with application to financial modelling. As case studies we consider the major historical indices daily returns, DJIA, NASDAQ composite, FTSE100, CAC40, DAX and S&P500, as well as, high-frequency...

In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is presented. We focus in particular on the estimation of the degrees of freedom. A new estimator is proposed. Monte Carlo simulations show that this novel estimator is more efficient...

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape parameter...

Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...