Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....