frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

The rough path-dependent volatility (RPDV) model (Parent 2022) effectively captures key empirical features that are … characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure … the RPDV model a competitive tool for volatility forecasting.To achieve this objective, the article proposes an innovative …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …