Browsing All of EconStor by Author Asai, Manabu

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Showing results 1 to 14 of 14
Year of PublicationTitleAuthor(s)
2013 Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility ModelsAsai, Manabu; Caporin, Massimiliano; McAleer, Michael
2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option PricingAsai, Manabu; McAleer, Michael
2013 A Fractionally Integrated Wishart Stochastic Volatility ModelAsai, Manabu; McAleer, Michael
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized CovarianceAsai, Manabu; McAleer, Michael
2015 The Impact of Jumps and Leverage in Forecasting Co-VolatilityAsai, Manabu; McAleer, Michael
2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH ProcessesAsai, Manabu; McAleer, Michael
2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and SpilloversAsai, Manabu; Chang, Chia-Lin; McAleer, Michael
2016 A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and AsymptoticsAsai, Manabu; McAleer, Michael
2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility ModelsPeiris, Shelton; Asai, Manabu; McAleer, Michael
2016 Generalized fractional processes with long memory and time dependent volatility revisitedPeiris, M. Shelton; Asai, Manabu
2017 Realized Stochastic Volatility Models with Generalized Gegenbauer Long MemoryAsai, Manabu; McAleer, Michael; Peiris, Shelton
2017 Realized Stochastic Volatility with General Asymmetry and Long MemoryAsai, Manabu; Chang, Chia-Lin; McAleer, Michael
2017 Forecasting the Volatility of Nikkei 225 FuturesAsai, Manabu; McAleer, Michael
2018 Bayesian Analysis of Realized Matrix-Exponential GARCH ModelsAsai, Manabu; McAleer, Michael