@article{dynamicfactorleverageandrealized,
  title = {Dynamic factor, leverage and realized covariances in multivariate stochastic volatility},
  author = {Yuta Yamauchi and Yasuhiro Omori},
  year = {2020},
  eprint = {2011.06909},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2011.06909v2},
}