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The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; Mcaleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10008253328
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The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-193
Persistent link: https://www.econbiz.de/10008890760
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The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
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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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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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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
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
Mcaleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10008143200
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An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
Medeiros, Marcelo C.; Mcaleer, Michael; Slottje, Daniel; … - In: Journal of econometrics 147 (2008) 2, pp. 372-383
Persistent link: https://www.econbiz.de/10008146816
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A neural network demand system with heteroskedastic errors
Mcaleer, Michael; Medeiros, Marcelo C.; Slottje, Daniel - In: Journal of econometrics 147 (2008) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10008146817