Globalization of trading in foreign exchange markets is a principal sourceof the daily and weekly seasonability in market volatility. One way to mo del such phenomena is to adopt a framework where market volatility is tiedto the intensity of (world) trading through a subordinated stochastic pro...

The Wishart Autoregressive (WAR) process is a dynamic model for time series of multivariate stochastic volatility. The WAR naturally accommodates the positivity and symmetry of volatility matrices and provides closed-form non-linear forecasts. The estimation of the WAR is straighforward, as it...