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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