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Long memory and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 7 (2015) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
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Realized BEKK-CAW models
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
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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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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190