TY  - RPRT
AU  - Asai, Manabu
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27598
AB  - The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Matrix-exponential transformation
KW  - Realized stochastic covariances
KW  - Realized conditional covariances
KW  - Asymmetry
KW  - Long memory
KW  - Spillovers
KW  - Dynamic covariance matrix
KW  - Finite sample properties
KW  - Forecasting performance.
TI  - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
TY  - technical report
VL  - 2016
ER  -