TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2014
UR  - https://hdl.handle.net/20.500.14352/41555
AB  - Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that...
LA  - eng
KW  - Dimension reduction
KW  - Factor Model
KW  - Multivariate Stochastic Volatility
KW  - LeverageEffects
KW  - Long Memory
KW  - Realized Volatility
TI  - Forecasting Co-Volatilities via Factor Models withAsymmetry and Long Memory in Realized Covariance
TY  - technical report
VL  - 2014
ER  -