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A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Asai, Manabu; McAleer, Michael - 2016
, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-GARCH model of Ling and McAleer (2003 …
Persistent link: https://www.econbiz.de/10011586680
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Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
Asai, Manabu; McAleer, Michael - 2016
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...
Persistent link: https://www.econbiz.de/10011586686
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A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics
Asai, Manabu; McAleer, Michael - 2016
, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-GARCH model of Ling and McAleer (2003 …
Persistent link: https://www.econbiz.de/10011531101
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Asymptotic theory for extended asymmetric multivariate GARCH processes
Asai, Manabu; McAleer, Michael - 2016
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...
Persistent link: https://www.econbiz.de/10011531127
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the …
Persistent link: https://www.econbiz.de/10009291890
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10010732622
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10008764018
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10008764127
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Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu; McAleer, Michael - 2018
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …
Persistent link: https://www.econbiz.de/10011819520
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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics 4 (2016) 3, pp. 1-21
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the … approximate maximum likelihood estimator for the GARMA-GARCH model. We discuss a Monte Carlo likelihood method for the GARMA …
Persistent link: https://www.econbiz.de/10011755341