This article reconsiders the relationship between stock return volatility and trading volume. Based on the multi-factor stochastic volatility model for stock return, we suggest several specifications for the trading volume. This approach enables the unobservable information arrival to follow the...

For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR) model which accommodates the market effects of different horizons, namely, daily, weekly and monthly effects, and examine the interdependence of stock markets in Brazil and the US,...

In this paper, we propose a long memory asymmetric volatility model, which captures more flexible asymmetric patterns as compared with several existing models. We extend the new specification to realized volatility (RV) by taking account of measurement errors and use the Efficient Importance...

There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback efects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and mul- tifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of...

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use...