(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over … long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory …

multivariate stochastic volatility (factor MSV) model. The foundation for the model discussed here is the work of Doz and Renault … number of, and dynamics for, the latent factors that drive the conditional volatility of returns …