Manabu Asai : Citation Profile


Are you Manabu Asai?

Soka University

9

H index

9

i10 index

374

Citations

RESEARCH PRODUCTION:

27

Articles

61

Papers

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 22
   Journals where Manabu Asai has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 59 (13.63 %)

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   Permalink: http://citec.repec.org/pas73
   Updated: 2017-03-18    RAS profile: 2016-09-28    
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Relations with other researchers


Works with:

McAleer, Michael (32)

Caporin, Massimiliano (6)

Omori, Yasuhiro (4)

Chang, Chia-Lin (2)

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 (92)

Caporin, Massimiliano (37)

Omori, Yasuhiro (35)

Medeiros, Marcelo (24)

Casarin, Roberto (10)

Eratalay, Mustafa (10)

Chang, Chia-Lin (9)

GAO, Jiti (7)

Hammoudeh, Shawkat (7)

Maheu, John (7)

Ruiz, Esther (7)

Cites to:

McAleer, Michael (96)

Bollerslev, Tim (40)

Shephard, Neil (31)

Engle, Robert (30)

Yu, Jun (23)

Tauchen, George (19)

Andersen, Torben (17)

Diebold, Francis (17)

Koopman, Siem Jan (15)

Omori, Yasuhiro (14)

Tokpavi, Sessi (14)

Main data


Where Manabu Asai has published?


Journals with more than one article published# docs
Econometric Reviews4
Applied Financial Economics3
Journal of Econometrics3
The North American Journal of Economics and Finance2
Computational Statistics & Data Analysis2
Mathematics and Computers in Simulation (MATCOM)2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute11
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico11
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo10
Tinbergen Institute Discussion Papers / Tinbergen Institute9
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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2016Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2016). Lucas, André ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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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.

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

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

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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.

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2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

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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.

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Works by Manabu Asai:


YearTitleTypeCited
2015Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes In: Journal of Time Series Econometrics.
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2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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paper14
2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper27
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 27
paper
2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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paper
2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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paper9
2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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article
2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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2010Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics.
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paper12
2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews.
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2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Dynamic Conditional Correlations for Asymmetric Processes In: Working Papers in Economics.
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paper3
2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CARF F-Series.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: Econometric Institute Research Papers.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: KIER Working Papers.
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2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CIRJE F-Series.
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2011Dynamic Conditional Correlations for Asymmetric Processes.(2011) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance In: Working Papers in Economics.
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2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance.(2015) In: Journal of Econometrics.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Tinbergen Institute Discussion Papers.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Documentos de Trabajo del ICAE.
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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.
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2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
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2007Multivariate stochastic volatility.(2007) In: CIRJE F-Series.
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2007Non-trading day effects in asymmetric conditional and stochastic volatility models In: Econometrics Journal.
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2009Multivariate stochastic volatility, leverage and news impact surfaces In: Econometrics Journal.
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2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
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2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2013Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil In: The North American Journal of Economics and Finance.
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article6
2013Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance.
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2009The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics.
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2015Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing In: Journal of Econometrics.
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2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: KIER Working Papers.
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2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Tinbergen Institute Discussion Papers.
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2013Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Documentos de Trabajo del ICAE.
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2008Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models In: Journal of Empirical Finance.
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article5
2008A Portfolio Index GARCH model In: International Journal of Forecasting.
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2008Portfolio single index (PSI) multivariate conditional and stochastic volatility models In: Mathematics and Computers in Simulation (MATCOM).
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2009Bayesian analysis of stochastic volatility models with mixture-of-normal distributions In: Mathematics and Computers in Simulation (MATCOM).
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2015The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers.
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2015The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Tinbergen Institute Discussion Papers.
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2015The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Documentos de Trabajo del ICAE.
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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models In: Econometric Institute Research Papers.
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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2016) In: Tinbergen Institute Discussion Papers.
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2016Estimating and forecasting generalized fractional Long memory stochastic volatility models.(2016) In: Documentos de Trabajo del ICAE.
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2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics In: Econometric Institute Research Papers.
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2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics.(2016) In: Tinbergen Institute Discussion Papers.
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2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes In: Econometric Institute Research Papers.
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2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Tinbergen Institute Discussion Papers.
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2016Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Documentos de Trabajo del ICAE.
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2016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited In: Econometrics.
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2005Comparison of MCMC Methods for Estimating Stochastic Volatility Models In: Computational Economics.
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2013A Fractionally Integrated Wishart Stochastic Volatility Model In: KIER Working Papers.
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2013A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Tinbergen Institute Discussion Papers.
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2013A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Documentos de Trabajo del ICAE.
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1999Time series evidence on a new Keynesian theory of the output-inflation trade-off In: Applied Economics Letters.
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2008The relationship between stock return volatility and trading volume: the case of the Philippines In: Applied Financial Economics.
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2010General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets In: Applied Financial Economics.
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2012Forecasting volatility using range data: analysis for emerging equity markets in Latin America In: Applied Financial Economics.
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2005Dynamic Asymmetric Leverage in Stochastic Volatility Models In: Econometric Reviews.
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2006Multivariate Stochastic Volatility: A Review In: Econometric Reviews.
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2006Asymmetric Multivariate Stochastic Volatility In: Econometric Reviews.
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2005Asymmetric Multivariate Stochastic Volatility.(2005) In: DEA Working Papers.
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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers In: Tinbergen Institute Discussion Papers.
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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Documentos de Trabajo del ICAE.
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2013Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range In: Journal of Forecasting.
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