Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Manabu Asai, Chia-Lin Chang, Michael McAleer
| Year of publication: |
2022
|
|---|---|
| Authors: | Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 285-304
|
| Subject: | Asymmetry | Dynamic covariance matrix | Finite sample properties | Forecasting performance | Higher-moment spillovers | Long memory | Matrix-exponential transformation | Realized conditional covariances | Realized stochastic covariances | Volatilität | Volatility | Korrelation | Correlation | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.06.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441658