Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

asymmetry long memory finite sample properties forecasting performance dynamic covariance matrix higher-moment spillovers matrix-exponential transformation realized conditional covariances realized stochastic covariances

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

Gaussian semiparametric estimation of multivariate fractionally integrated processes
Fractionally integrated generalized autoregressive conditional heteroskedasticity
On leverage in a stochastic volatility model
Jump robust daily covariance estimation by disentangling variance and correlation components
Fractional differencing
The Distribution of Realized Exchange Rate Volatility
Consistent autoregressive spectral estimates
Stochastic simulation: Algorithms and analysis
Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
Modeling and pricing long memory in stock market volatility
A multiple indicators model for volatility using intra-daily data
Large volatility matrix inference via combining low-frequency and high-frequency approaches
The Matrix-Logarithmic Covariance Model
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Modeling and Forecasting Realized Volatility
Long memory and regime switching
Estimating covariation: Epps effect, microstructure noise
The detection and estimation of long memory in stochastic volatility
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
Volatility forecast comparison using imperfect volatility proxies
Impulse response analysis in nonlinear multivariate models
The Wishart autoregressive process of multivariate stochastic volatility
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Local Whittle estimation of fractional integration and some of its variants
Asymmetric Multivariate Stochastic Volatility
Finite sample properties of a QML estimator of stochastic volatility models with long memory.
On covariance estimation of non-synchronously observed diffusion processes
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Matrix exponential GARCH
Multivariate Stochastic Volatility: A Review
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Nonlinear impulse response functions
Smoothing and Interpolation with the State-Space Model
The structure of dynamic correlations in multivariate stochastic volatility models
The impact of jumps and leverage in forecasting covolatility
Second-oder noncausality in multivariate GARCH processes
Multivariate stochastic volatility, leverage and news impact surfaces
Miscellanea. Time series with additive noise
Modelling and forecasting noisy realized volatility
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
On loss functions and ranking forecasting performances of multivariate volatility models
Forecasting a long memory process subject to structural breaks
Forecasting multivariate realized stock market volatility
Estimating stochastic volatility models using daily returns and realized volatility simultaneously
Title not available (Why is that?)
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
State space modeling of long-memory processes
Realized stochastic volatility with leverage and long memory
Exploiting the errors: a simple approach for improved volatility forecasting
Matrix exponential stochastic volatility with cross leverage
News impact curve for stochastic volatility models
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
On the invertibility of EGARCH\((p, q)\)
Realized stochastic volatility with general asymmetry and long memory
Towards a unified framework for high and low frequency return volatility modeling
Jump robust two time scale covariance estimation and realized volatility budgets
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

Cited In (3)

Title not available (Why is that?)
Comparing unconstrained parametrization methods for return covariance matrix prediction
Realized BEKK-CAW models

This page was built for publication: Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116339)