Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers |
scientific article; zbMATH DE number 7491160
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers |
scientific article; zbMATH DE number 7491160 |
Statements
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (English)
0 references
16 March 2022
0 references
matrix-exponential transformation
0 references
realized stochastic covariances
0 references
realized conditional covariances
0 references
asymmetry
0 references
long memory
0 references
higher-moment spillovers
0 references
dynamic covariance matrix
0 references
finite sample properties
0 references
forecasting performance
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
