Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

DOI10.1016/j.jeconom.2015.03.020zbMath1337.62317MaRDI QIDQ888317

Michael McAleer, Manabu Asai

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10092/10054

zbMATH Keywords

dimension reduction; long memory; factor model; realized volatility; multivariate stochastic volatility; leverage effects

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

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