Realized covariance models with time-varying parameters and spillover effects
Statistical Modelling: An International Journal
Published online on March 19, 2025
Abstract
Statistical Modelling, Volume 26, Issue 2, Page 163-183, April 2026.
A realized covariance model specifies a dynamic process for a conditional covariance matrix of daily asset returns as a function of past realized variances and covariances. We propose parsimonious parameterizations enabling a spillover effect in the ...
A realized covariance model specifies a dynamic process for a conditional covariance matrix of daily asset returns as a function of past realized variances and covariances. We propose parsimonious parameterizations enabling a spillover effect in the ...