Manabu Asai : Citation Profile


Are you Manabu Asai?

Soka University

12

H index

12

i10 index

523

Citations

RESEARCH PRODUCTION:

34

Articles

83

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 26
   Journals where Manabu Asai has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 79 (13.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas73
   Updated: 2020-05-16    RAS profile: 2020-02-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

McAleer, Michael (50)

Chang, Chia-Lin (9)

GUPTA, RANGAN (5)

Omori, Yasuhiro (4)

Ishihara, Tsunehiro (4)

Pauwels, Laurent (3)

Allen, David (2)

Caporin, Massimiliano (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 (101)

Omori, Yasuhiro (55)

Caporin, Massimiliano (37)

Medeiros, Marcelo (24)

Veiga, Helena (15)

Chang, Chia-Lin (14)

Eratalay, Mustafa (14)

Ruiz, Esther (13)

Moura, Guilherme (13)

Ishihara, Tsunehiro (12)

Koopman, Siem Jan (12)

Cites to:

McAleer, Michael (151)

Shephard, Neil (59)

Bollerslev, Tim (56)

Engle, Robert (39)

Yu, Jun (29)

Andersen, Torben (24)

Diebold, Francis (24)

Koopman, Siem Jan (22)

Harvey, Andrew (20)

Tauchen, George (20)

Omori, Yasuhiro (20)

Main data


Where Manabu Asai has published?


Journals with more than one article published# docs
Econometric Reviews6
Journal of Econometrics4
Applied Financial Economics3
Mathematics and Computers in Simulation (MATCOM)2
Journal of Forecasting2
Econometrics Journal2
Computational Statistics & Data Analysis2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute19
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico17
Tinbergen Institute Discussion Papers / Tinbergen Institute13
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
Working Papers / University of Pretoria, Department of Economics2

Recent works citing Manabu Asai (2019 and 2018)


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

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2018Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling. (2018). Souam, Saïd ; BOUSSAHA, Nadia ; Hamdi, Faycal . In: EconomiX Working Papers. RePEc:drm:wpaper:2018-14.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2019Hedge fund returns and uncertainty. (2019). Krause, Timothy A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:597-601.

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2019Financial contagion across major stock markets: A study during crisis episodes. (2019). Bensaida, Ahmed ; Benmim, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201.

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

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Liesenfeld, Roman ; Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Mandaci, Pinar Evrim ; Taskin, Dilvin ; Cagli, Efe Caglar. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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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.

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2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2019Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Xie, Nan ; Gong, XU ; Chen, Sicen ; Wang, Zongrun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2020Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316577.

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2018Equivalent volume and comovement. (2018). Staer, Arsenio ; Sottile, Pedro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

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2018Many a little makes a mickle: Stress testing small and medium-sized German banks. (2018). Koziol, Philipp ; Mitrovic, Marc ; Busch, Ramona. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:237-253.

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2018An empirical application of a stochastic volatility model with GH skew Students t-distribution to the volatility of Latin-American stock returns. (2018). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Lafosse, Patricia Lengua. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:155-173.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2019The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121.

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2019The information content of realized volatility of sector indices in China’s stock market. (2019). Lung, Peter ; Zhang, Lili ; Liu, Dehong ; Lin, Tiantian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:625-640.

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2019A futures pricing model with long-term and short-term traders. (2019). Jia, Yun ; Xie, Jun ; Gao, Bin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:9-28.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2020Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE. (2020). McAleer, Michael ; Allen, David. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296.

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2020Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. (2020). Gkillas, Konstantinos ; Floros, Christos ; Alghalith, Moawia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:35-:d:344228.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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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: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2019Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-660.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2018Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:17-16.

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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Doucet, Arnaud. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:18-12.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; 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..

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

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2019Inference for likelihood-based estimators of generalized long-memory processes. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96313.

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2019Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96314.

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2019Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972.

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2020A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202004.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

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2020A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:202010.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2018Multivariate Stochastic Volatility with Co-Heteroscedasticity. (2018). Strachan, Rodney ; Leon-Gonzalez, Roberto ; Doucet, Arnaud. In: Working Paper series. RePEc:rim:rimwps:18-38.

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2019Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo. In: CEIS Research Paper. RePEc:rtv:ceisrp:450.

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2017Bayesian analysis of multivariate stochastic volatility with skew return distribution. (2017). Nakajima, Jouchi. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:5:p:546-562.

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2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. (2018). Casarin, Roberto ; Tronzano, Marco ; Sartore, Domenico. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:101-114.

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2018Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1075.

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2018Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49.

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2018Low and high prices can improve covariance forecasts: The evidence based on currency rates. (2018). Fiszeder, Piotr. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:6:p:641-649.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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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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article1
2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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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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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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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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2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2010Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics.
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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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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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This paper has another version. Agregated cites: 4
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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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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research 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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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: KIER Working Papers.
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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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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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2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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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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