14-037/III - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

• Authors
  Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Complutense University of Madrid, Spain
• Publication date
  March 17, 2014

• Keywords
  Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory; Realized Volatility
• JEL
  C32, C53, C58, G17