This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models dynamics and highlight their di¤erences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for...

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

This note solves the puzzle of estimating degenerate Wishart Autoagressive processes, introduced by Gourieroux, Jasiak and Sufana (2009)to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of...