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Tinbergen Institute, Amsterdam and Rotterdam
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Results 1-10 of 13.
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Year of Publication
Title
Author(s)
2016
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
2015
The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu
;
McAleer, Michael
2016
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Peiris, Shelton
;
Asai, Manabu
;
McAleer, Michael
2013
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
2017
Forecasting the Volatility of Nikkei 225 Futures
Asai, Manabu
;
McAleer, Michael
2017
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
2017
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asai, Manabu
;
McAleer, Michael
;
Peiris, Shelton
2016
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Asai, Manabu
;
McAleer, Michael
2018
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu
;
McAleer, Michael
2013
A Fractionally Integrated Wishart Stochastic Volatility Model
Asai, Manabu
;
McAleer, Michael
Author
13
McAleer, Michael
2
Chang, Chia-Lin
2
Peiris, Shelton
1
Caporin, Massimiliano
year of Publication
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2018
3
2017
4
2016
1
2015
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2014
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2013