Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
DOI10.1016/j.jeconom.2021.06.008OpenAlexW3181618081WikidataQ115571102 ScholiaQ115571102MaRDI QIDQ2116339
Michael McAleer, Manabu Asai, Chia-Lin Chang
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.06.008
asymmetrylong memoryfinite sample propertiesforecasting performancedynamic covariance matrixhigher-moment spilloversmatrix-exponential transformationrealized conditional covariancesrealized stochastic covariances
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (3)
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