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Search: subject:"Matrix-exponential transformation"
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The
matrix
exponential
transformation
…
Persistent link: https://www.econbiz.de/10011586691
Saved in:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The
matrix
exponential
transformation
…
Persistent link: https://www.econbiz.de/10011536626
Saved in:
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