Browsing All of EconStor by Author Asai, Manabu

Showing results 1 to 16 of 16
Year of PublicationTitleAuthor(s)
2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility ModelsAsai, Manabu; Caporin, Massimiliano; McAleer, Michael
2013A Fractionally Integrated Wishart Stochastic Volatility ModelAsai, Manabu; McAleer, Michael
2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option PricingAsai, Manabu; McAleer, Michael
2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized CovarianceAsai, Manabu; McAleer, Michael
2015The Impact of Jumps and Leverage in Forecasting Co-VolatilityAsai, Manabu; McAleer, Michael
2016Generalized fractional processes with long memory and time dependent volatility revisitedPeiris, M. Shelton; Asai, Manabu
2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and SpilloversAsai, Manabu; Chang, Chia-Lin; McAleer, Michael
2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility ModelsPeiris, Shelton; Asai, Manabu; McAleer, Michael
2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and AsymptoticsAsai, Manabu; McAleer, Michael
2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH ProcessesAsai, Manabu; McAleer, Michael
2017Estimating and forecasting generalized fractional long memory stochastic volatility modelsPeiris, Shelton; Asai, Manabu; McAleer, Michael
2017Forecasting the Volatility of Nikkei 225 FuturesAsai, Manabu; McAleer, Michael
2017Realized Stochastic Volatility with General Asymmetry and Long MemoryAsai, Manabu; Chang, Chia-Lin; McAleer, Michael
2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long MemoryAsai, Manabu; McAleer, Michael; Peiris, Shelton
2018Bayesian Analysis of Realized Matrix-Exponential GARCH ModelsAsai, Manabu; McAleer, Michael
2021Asymptotic and finite sample properties for multivariate rotated GARCH modelsAsai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, Laurent