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

DOI10.1016/J.JECONOM.2015.03.020zbMATH Open1337.62317OpenAlexW2148364833MaRDI QIDQ888317FDOQ888317

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 reductionfactor modellong memoryrealized volatilitymultivariate stochastic volatilityleverage effects

Mathematics Subject Classification ID

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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Cited In (7)

• Dynamic correlation multivariate stochastic volatility with latent factors
• Frontiers in time series and financial econometrics: an overview
• The impact of jumps and leverage in forecasting covolatility
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
• 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
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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