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