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16-076/III - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers


  • Authors
    Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain; Yokohama National University, Japan
  • Publication date
    September 12, 2016
  • Keywords
    Matrix-exponential transformation, Realized stochastic covariances, Realized conditional covariances, Asymmetry, Long memory, Spillovers, Dynamic covariance matrix, Finite sample properties, Forecasting performance
  • JEL
    C22, C32, C58, G32