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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu; McAleer, Michael - In: The journal of futures markets 37 (2017) 11, pp. 1141-1152
Persistent link: https://www.econbiz.de/10011951006
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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The impact of jumps and leverage in forecasting covolatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 6/9, pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
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Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
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Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - In: Journal of time series econometrics 12 (2020) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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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