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Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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Multivariate stochastic volatility, leverage and news impact surfaces
Asai, Manabu; McAleer, Michael - In: The econometrics journal 12 (2009) 2, pp. 292-309
Persistent link: https://www.econbiz.de/10003875671
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Estimation of high-dimensional vector autoregression via sparse precision matrix
Poignard, Benjamin; Asai, Manabu - In: The econometrics journal 26 (2023) 2, pp. 307-326
Persistent link: https://www.econbiz.de/10014319364
Cover Image
Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu; Mcaleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123
Persistent link: https://www.econbiz.de/10007606130
Cover Image
Multivariate stochastic volatility, leverage and news impact surfaces
Asai, Manabu; Mcaleer, Michael - In: The econometrics journal 12 (2009) 2, pp. 292-309
Persistent link: https://www.econbiz.de/10008279065