We develop a new model for the multivariate covariance matrix dynamics based on daily return observations and daily realized covariance matrix kernels based on intraday data. Both types of data may be fat-tailed. We account for this by assuming a matrix-F distribution for the realized kernels,...

A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry),...

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...