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~person:"Asai, Manabu"
~subject:"Asymmetric information"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Asai, Manabu
McAleer, Michael
22
Gupta, Rangan
21
Bollerslev, Tim
20
Yannelis, Nicholas C.
18
Martimort, David
16
Andersen, Torben
15
Subrahmanyam, Avanidhar
13
Wang, Yudong
13
Morris, Stephen
12
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12
Renault, Eric
12
Schmitz, Patrick W.
12
Caporin, Massimiliano
11
Mele, Antonio
11
O'Hara, Maureen
11
Sappington, David Edward Michael
11
Skrzypacz, Andrzej
11
Westerhoff, Frank H.
11
Aït-Sahalia, Yacine
10
Chan, Joshua
10
Daughety, Andrew F.
10
Ghysels, Eric
10
Herwartz, Helmut
10
Liu, Hong
10
Pecorino, Paul
10
Yu, Jun
10
Zhang, Wei
10
Bekaert, Geert
9
Caporale, Guglielmo Maria
9
Easley, David
9
Escobar, Marcos
9
Fouque, Jean-Pierre
9
Jehiel, Philippe
9
Koessler, Frédéric
9
Li, Kai
9
Maheu, John M.
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Meddahi, Nour
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ECONIS (ZBW)
15
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1
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
Saved in:
2
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
Saved in:
3
Stochastic multivariate mixture covariance model
So, Mike Ka-pui
;
Li, Raymond W. M.
;
Asai, Manabu
;
Jiang, Yue
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Saved in:
4
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
Saved in:
5
Testing for serial correlation in the presence of stochastic volatility
Asai, Manabu
- In:
Asia-Pacific financial markets
7
(
2000
)
4
,
pp. 321-337
Persistent link: https://www.econbiz.de/10001557972
Saved in:
6
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
7
Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu
;
Brugal, Ivan
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
Saved in:
8
Stress testing correlation matrices for risk management
So, Mike Ka-pui
;
Wong, Jerry
;
Asai, Manabu
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 310-322
Persistent link: https://www.econbiz.de/10010365763
Saved in:
9
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
Saved in:
10
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
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