Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several...

We propose a novel approach to modelling structural changes in asset returns correlations. Our framework allows for breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in the short-run correlations and smooth transitions...

This paper proposes a new method of forecasting realized volatilities by exploiting their common dynamics within a latent factor model. The main idea is to use an additive component structure to describe the long-persistence in their autocorrelation function, where the components, extracted from...