New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Forecasting volatility with time-varying leverage and volatility of volatility effects

“…This is well known from the seminal contribution of Corsi (2009) and further developments, see for instance Proietti (2016). Our way of introducing long memory in the evolution of µ t follows the approach of Janus et al (2016). The transformed correlation and volatility of volatility parameters follows a first order autoregressive evolution.…”

“…The most notable contributions are Shephard and Sheppard (2010) and Takahashi et al (2009), respectively. While the multivariate extensions of this framework are nontrivial, contributions in this direction are due to Hansen et al (2014), Noureldin et al (2012) and Janus et al (2016). 1 In this paper, we propose a new bivariate model of realized volatility and market returns accounting for the three above well established features.…”

Volatility of Some Selected Currencies Against the Naira Using Generalized Autoregressive Score Models

“…Harvey and Chakravarty proposed the GAS model with Exponential GAS (EGAS) and Asymmetric EGAS (AEGAS) as its variants [9,10]. Recent literatures on the GAS models are found in [11][12][13][14][15][16][17], 'in press' [18]. Several studies exist in literature on the theoretical framework of the GAS model.…”

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*

“…Then a further extension based on the use of more heavy-tailed distributions is proposed by Janus, Lucas and Opschoor (2014). In the aforementioned models, a time-varying parameter is introduced for every realized measure that is included in the model.…”