Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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dimension reductionfactor modellong memoryrealized volatilitymultivariate stochastic volatilityleverage effects
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites work
- scientific article; zbMATH DE number 5769397 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
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Cited in
(14)- A multivariate volatility vine copula model
- Dynamic correlation multivariate stochastic volatility with latent factors
- Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades
- Forecasting multivariate realized stock market volatility
- Realized stochastic volatility with general asymmetry and long memory
- Frontiers in time series and financial econometrics: an overview
- Forecasting high-dimensional realized volatility matrices using a factor model
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- The impact of jumps and leverage in forecasting covolatility
- Dynamic factor long memory volatility
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Modeling and forecasting realized covariance matrices with accounting for leverage
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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