We propose a multi-level dynamic factor model to represent the commonalities in the hourly evolution of realized volatilities of several exchange rates. The model assumes a global factor active during the twenty-four hours of the day, plus four intermittent factors, associated with markets...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...