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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348322
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Dynamic conditional correlations for asymmetric processes
Asai, Manabu; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760497
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Alternative asymmetric stochastic volatility models
Asai, Manabu; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008760507
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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985
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Structure and asymptotic theory for nonlinear models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008760483
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Modelling and forecasting noisy realized volatility
Asai, Manuabu; McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008669930
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Forecasting realized volatility with linear and nonlinear univariate models
McAleer, Michael; Medeiros, Marcelo C. - 2010
Persistent link: https://www.econbiz.de/10008689073
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A note on nonlinear cointegration, misspecification and bimodality
Medeiros, Marcelo C.; Mendes, Eduardo F.; Oxley, Les - 2010
Persistent link: https://www.econbiz.de/10008669363