Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The … key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and … realized covariances. The updating of the variance matrix relies on the score function of the joint likelihood function based …