Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Year of publication: |
2022
|
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Authors: | Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 285-304
|
Subject: | Asymmetry | Dynamic covariance matrix | Finite sample properties | Forecasting performance | Higher-moment spillovers | Long memory | Matrix-exponential transformation | Realized conditional covariances | Realized stochastic covariances | Korrelation | Correlation | Spillover-Effekt | Spillover effect | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitalmarktrendite | Capital market returns | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastische Volatilität | Stochastic volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Theorie | Theory |
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