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

DOI10.1016/J.JECONOM.2021.06.008MaRDI QIDQ2116339OpenAlexWikidataFDO

Authors Manabu Asai, Chialin Chang, Michael McAleer

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

zbMATH Keywords

asymmetrylong memoryfinite sample propertiesforecasting performancedynamic covariance matrixhigher-moment spilloversmatrix-exponential transformationrealized conditional covariancesrealized stochastic covariances

Mathematics Subject Classification ID

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

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