The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric function to develop news impact curves. We consider...

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric function to develop news impact curves. We consider...

This paper studies a threshold extreme value distribution for modeling standardized financial returns. The main theme is tail asymmetry, which means that the left and right tails of the standardized return distribution are not identical. The peak-over-threshold idea in extreme value theory is...