The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …