The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation … forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation … forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model …

where the weight matrix includes an endogenous distance-decay parameter (SARPα), and a matrix exponential spatial …

spatial weight matrix in spatial growth regression models in general and growth regression models based on the matrix … exponential spatial specification in particular. A natural solution, supported by formal probabilistic reasoning, is the use of …