Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339)
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scientific article; zbMATH DE number 7491160
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers |
scientific article; zbMATH DE number 7491160 |
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (English)
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16 March 2022
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matrix-exponential transformation
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realized stochastic covariances
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realized conditional covariances
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asymmetry
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long memory
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higher-moment spillovers
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dynamic covariance matrix
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finite sample properties
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forecasting performance
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