Manabu Asai : Citation Profile


Are you Manabu Asai?

Soka University

10

H index

10

i10 index

406

Citations

RESEARCH PRODUCTION:

29

Articles

69

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 22
   Journals where Manabu Asai has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 64 (13.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas73
   Updated: 2017-11-18    RAS profile: 2017-11-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

McAleer, Michael (42)

Caporin, Massimiliano (6)

Chang, Chia-Lin (6)

Omori, Yasuhiro (4)

Medeiros, Marcelo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Manabu Asai.

Is cited by:

McAleer, Michael (100)

Omori, Yasuhiro (36)

Caporin, Massimiliano (36)

Medeiros, Marcelo (24)

Chang, Chia-Lin (11)

Eratalay, Mustafa (10)

Casarin, Roberto (10)

Moura, Guilherme (9)

Koopman, Siem Jan (8)

Veiga, Helena (8)

Ruiz, Esther (7)

Cites to:

McAleer, Michael (122)

Bollerslev, Tim (45)

Shephard, Neil (35)

Engle, Robert (31)

Yu, Jun (28)

Tauchen, George (20)

Diebold, Francis (20)

Andersen, Torben (19)

Koopman, Siem Jan (17)

Hansen, Peter (16)

Harvey, Andrew (16)

Main data


Where Manabu Asai has published?


Journals with more than one article published# docs
Econometric Reviews5
Journal of Econometrics4
Applied Financial Economics3
The North American Journal of Economics and Finance2
Computational Statistics & Data Analysis2
Econometrics Journal2
Mathematics and Computers in Simulation (MATCOM)2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute15
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico12
Tinbergen Institute Discussion Papers / Tinbergen Institute12
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo10
KIER Working Papers / Kyoto University, Institute of Economic Research7
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo4

Recent works citing Manabu Asai (2017 and 2016)


YearTitle of citing document
2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

Full description at Econpapers || Download paper

2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

Full description at Econpapers || Download paper

2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

Full description at Econpapers || Download paper

2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

Full description at Econpapers || Download paper

2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

Full description at Econpapers || Download paper

2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

Full description at Econpapers || Download paper

2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

Full description at Econpapers || Download paper

2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

Full description at Econpapers || Download paper

2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

Full description at Econpapers || Download paper

2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

Full description at Econpapers || Download paper

2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

Full description at Econpapers || Download paper

2016On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José. In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

Full description at Econpapers || Download paper

2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

Full description at Econpapers || Download paper

2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Wen, Fenghua ; Cai, Shenghua ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

Full description at Econpapers || Download paper

2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Gong, XU ; Lin, Boqiang . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

Full description at Econpapers || Download paper

2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

Full description at Econpapers || Download paper

2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

Full description at Econpapers || Download paper

2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

Full description at Econpapers || Download paper

2016Return and volatility interdependences in up and down markets across developed and emerging countries. (2016). Kundu, Srikanta ; Sarkar, Nityananda . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:297-311.

Full description at Econpapers || Download paper

2016Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models. (2016). McAleer, Michael ; Chen, J ; Kobayashi, M. In: Econometric Institute Research Papers. RePEc:ems:eureir:79925.

Full description at Econpapers || Download paper

2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, M ; Chen, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:99788.

Full description at Econpapers || Download paper

2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

Full description at Econpapers || Download paper

2016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689.

Full description at Econpapers || Download paper

2016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689.

Full description at Econpapers || Download paper

2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

Full description at Econpapers || Download paper

2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

Full description at Econpapers || Download paper

2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Jin, Xin ; Yang, Qiao ; Maheu, John M. In: MPRA Paper. RePEc:pra:mprapa:81920.

Full description at Econpapers || Download paper

2016FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS. (2016). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0208.

Full description at Econpapers || Download paper

2016Multivariate Wishart stochastic volatility and changes in regime. (2016). Gribisch, Bastian . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-016-0269-9.

Full description at Econpapers || Download paper

2016Asymmetry with respect to the memory in stock market volatilities. (2016). Lonnbark, Carl . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0975-2.

Full description at Econpapers || Download paper

2016Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models. (2016). McAleer, Michael ; Chen, Jinghui ; Kobayashi, Masahito . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160015.

Full description at Econpapers || Download paper

2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2016). Koopman, Siem Jan ; Hansen, Peter ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160061.

Full description at Econpapers || Download paper

2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

Full description at Econpapers || Download paper

2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, Masahito ; Chen, Jinghui . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170022.

Full description at Econpapers || Download paper

2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051.

Full description at Econpapers || Download paper

2016Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1019.

Full description at Econpapers || Download paper

2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

Full description at Econpapers || Download paper

2016Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models. (2016). McAleer, Michael ; Kobayashi, Masahito ; Chen, Jinghui . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1604.

Full description at Econpapers || Download paper

2017Testing for volatility co-movement in bivariate stochastic volatility models. (2017). McAleer, Michael ; Chen, Jinghui ; Kobayashi, Masahito . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1710.

Full description at Econpapers || Download paper

2017Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1715.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Peiris, Shelton ; Asai, Manabu . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

Full description at Econpapers || Download paper

Works by Manabu Asai:


YearTitleTypeCited
2015Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article0
2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
[Full Text][Citation analysis]
paper14
2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]
paper29
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
[Full Text][Citation analysis]
paper10
2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2010Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]
paper13
2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2011Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2010Dynamic Conditional Correlations for Asymmetric Processes In: Working Papers in Economics.
[Full Text][Citation analysis]
paper3
2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2011Dynamic Conditional Correlations for Asymmetric Processes.(2011) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
[Full Text][Citation analysis]
paper5
2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance In: Working Papers in Economics.
[Full Text][Citation analysis]
paper5
2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Miko In: CARF F-Series.
[Full Text][Citation analysis]
paper0
2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
[Full Text][Citation analysis]
paper1
2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
[Full Text][Citation analysis]
paper52
2007Multivariate stochastic volatility.(2007) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2007Non-trading day effects in asymmetric conditional and stochastic volatility models In: Econometrics Journal.
[Full Text][Citation analysis]
article2
2009Multivariate stochastic volatility, leverage and news impact surfaces In: Econometrics Journal.
[Full Text][Citation analysis]
article22
2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article7
2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2013Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article6
2013Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article5
2009The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
2015Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2013Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2017Realized stochastic volatility with general asymmetry and long memory In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article6
2008A Portfolio Index GARCH model In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2008Portfolio single index (PSI) multivariate conditional and stochastic volatility models In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article0
2009Bayesian analysis of stochastic volatility models with mixture-of-normal distributions In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article5
2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper1
2015The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2015The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Estimating and forecasting generalized fractional Long memory stochastic volatility models.(2016) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper4
2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2017Forecasting the Volatility of Nikkei 225 Futures In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2017Forecasting the Volatility of Nikkei 225 Futures.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Forecasting the volatility of Nikkei 225 futures.(2017) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited In: Econometrics.
[Full Text][Citation analysis]
article1
2005Comparison of MCMC Methods for Estimating Stochastic Volatility Models In: Computational Economics.
[Full Text][Citation analysis]
article3
2013A Fractionally Integrated Wishart Stochastic Volatility Model In: KIER Working Papers.
[Full Text][Citation analysis]
paper0
2017A fractionally integrated Wishart stochastic volatility model.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2013A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2013A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Time series evidence on a new Keynesian theory of the output-inflation trade-off In: Applied Economics Letters.
[Full Text][Citation analysis]
article1
2008The relationship between stock return volatility and trading volume: the case of the Philippines In: Applied Financial Economics.
[Full Text][Citation analysis]
article3
2010General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets In: Applied Financial Economics.
[Full Text][Citation analysis]
article0
2012Forecasting volatility using range data: analysis for emerging equity markets in Latin America In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2005Dynamic Asymmetric Leverage in Stochastic Volatility Models In: Econometric Reviews.
[Full Text][Citation analysis]
article25
2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
[Full Text][Citation analysis]
article115
2006Asymmetric Multivariate Stochastic Volatility In: Econometric Reviews.
[Full Text][Citation analysis]
article29
2005Asymmetric Multivariate Stochastic Volatility.(2005) In: DEA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2013Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range In: Journal of Forecasting.
[Citation analysis]
article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2017. Contact: CitEc Team