Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

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 guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Aspectos cognitivos en torno a la novela y el cine de la memoria histórica: "La voz dormida" de Dulce Chacón y su adaptación fílmica

Culture, history, and biology are inseparable. Cultural manifestations are necessarily immersed in a context, originate in the embodied minds that create them, and are directed to the embodied minds that receive them and recreate them within their contexts (individual and collective). The novel and the film of historical memory in Spain aim to connect their audiences with a problem that has not been solved, as the Civil War, the postwar, and the pact of forgetfulness left a wide sector of the Spanish society voiceless. During the last few years, a series of initiatives coming from the arts, as well as other realms such as the legal, have sought to reexamine the unhealed wound that still haunts Spanish subjects. La voz dormida [The Sleeping Voice] is one of those initiatives. It begins as testimony, develops into a hybrid and intertextual novel, and later becomes a film. It constitutes an inclusive project, one of offering an alternative version to the “official history”, while incorporating the marginal voices of women that had been left out of the memory of the war and the dictatorship. Objective and Results By examining both the literary and the cinematic versions of Chacón’s work I aimed to evidence the connections that exist between the artistic portrayal of the postwar repression (particularly how it affects women) and the current movement of recovery of historical memory in Spain. Specifically, I was interested in showing how both the novel and the film employ a series of narrative strategies that emphasize the body and intentionality, with the purpose of creating in readers and spectators an empathetic response that may lead to prosocial behavior. In order to carry out this interdisciplinary study, which relates fiction, mind, and socio-historical context, I draw on cognitive theories of literature and film, as well as theories from social and developmental psychology, such as the Richard Gerrig’s theory of narrative experience, Keith Oatley’s psychology of fiction, Suzanne Keen’s theory of narrative empathy, and the empathy-altruism hypothesis, derived form the ideas of Jean Decety, among others...