15
H index
21
i10 index
954
Citations
Soka University | 15 H index 21 i10 index 954 Citations RESEARCH PRODUCTION: 49 Articles 68 Papers RESEARCH ACTIVITY: 24 years (1999 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pas73 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Manabu Asai. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051. Full description at Econpapers || Download paper |
2023 | Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952. Full description at Econpapers || Download paper |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
2023 | Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207. Full description at Econpapers || Download paper |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
2023 | Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086. Full description at Econpapers || Download paper |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper |
2023 | Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467. Full description at Econpapers || Download paper |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper |
2023 | Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136. Full description at Econpapers || Download paper |
2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
2023 | Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system. (2023). Zhao, Jing. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001757. Full description at Econpapers || Download paper |
2023 | Dependence and risk management of portfolios of metals and agricultural commodity futures. (2023). Mensi, Walid ; Hanif, Waqas ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Bensaida, Ahmed ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002787. Full description at Econpapers || Download paper |
2023 | Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies. (2023). Deng, Mingjie ; Cheng, Sheng ; Cao, Yan ; Liang, Ruibin. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002908. Full description at Econpapers || Download paper |
2023 | Geopolitical risk, financial system and natural resources extraction: Evidence from China. (2023). Teng, Yin-Pei ; Wang, Zhe ; Liu, Xianchang ; Wu, Shuzhao. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723003203. Full description at Econpapers || Download paper |
2023 | Bubble behaviors in nickel price: What roles do geopolitical risk and speculation play?. (2023). Su, Chi-Wei ; Zhong, Huaming ; Wu, Tong ; Wang, Xiao-Qing. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300418x. Full description at Econpapers || Download paper |
2023 | Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices. (2023). Shahbaz, Muhammad ; Mubarak, Muhammad Shujaat ; Ul, Asad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:388-395. Full description at Econpapers || Download paper |
2023 | Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts. (2023). Ha, Thanh. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:613-625. Full description at Econpapers || Download paper |
2023 | Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300. Full description at Econpapers || Download paper |
2023 | The impacts of oil price volatility on financial stress: Is the COVID-19 period different?. (2023). GUPTA, RANGAN ; Ji, Qiang ; Kim, Won Joong ; Sheng, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:520-532. Full description at Econpapers || Download paper |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459. Full description at Econpapers || Download paper |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
2023 | Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5. Full description at Econpapers || Download paper |
2023 | A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks. (2023). Zhang, Jing ; Ma, Ming. In: Journal of Combinatorial Optimization. RePEc:spr:jcomop:v:45:y:2023:i:1:d:10.1007_s10878-022-00936-0. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | High?dimensional sparse multivariate stochastic volatility models.(2023) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2020 | Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
2022 | Multivariate Hyper-Rotated GARCH-BEKK In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
2023 | Realized BEKK-CAW Models In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
2015 | Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 5 |
2010 | Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 25 |
2012 | Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
2011 | Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2011 | Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2009 | Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2010 | Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 37 |
2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2010 | Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
2010 | Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2010 | Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2012 | Asymmetry and Long Memory in Volatility Modeling.(2012) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2010 | Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2011 | Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2010 | Dynamic Conditional Correlations for Asymmetric Processes In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2009 | Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
2015 | Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2013 | Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2014 | Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 18 |
2015 | Forecasting 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 nother version. Agregated cites: 18 | article | |
2014 | Forecasting 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 nother version. Agregated cites: 18 | paper | |
2007 | Multivariate 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] | paper | 0 |
2009 | Asymmetry and Leverage in Realized Volatility In: CARF F-Series. [Full Text][Citation analysis] | paper | 1 |
2008 | Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2009 | Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2006 | Multivariate Stochastic Volatility In: Microeconomics Working Papers. [Full Text][Citation analysis] | paper | 201 |
2007 | Multivariate stochastic volatility.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 201 | paper | |
2007 | Non-trading day effects in asymmetric conditional and stochastic volatility models In: Econometrics Journal. [Full Text][Citation analysis] | article | 2 |
2009 | Multivariate stochastic volatility, leverage and news impact surfaces In: Econometrics Journal. [Full Text][Citation analysis] | article | 41 |
2016 | Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 18 |
2011 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series. [Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2013 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2014 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2014 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2013 | Forecasting 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] | article | 12 |
2013 | Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 10 |
2009 | The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 50 |
2015 | Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2013 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2013 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2017 | Realized stochastic volatility with general asymmetry and long memory In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2020 | Realized stochastic volatility models with generalized Gegenbauer long memory In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 10 |
2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2023 | Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 1 |
2008 | Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
2008 | A Portfolio Index GARCH model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
2020 | Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 66 |
2019 | Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
2008 | Portfolio single index (PSI) multivariate conditional and stochastic volatility models In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
2009 | Bayesian analysis of stochastic volatility models with mixture-of-normal distributions In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 9 |
2018 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models.(2022) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2018 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | Cointegrated Dynamics for A Generalized Long Memory Process In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Asymptotic Theory for Rotated Multivariate GARCH Models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Asymptotic Theory for Rotated Multivariate GARCH Models.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2019 | The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 30 |
2019 | The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures.(2019) In: Energies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2019 | The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2015 | The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 8 |
2017 | The impact of jumps and leverage in forecasting covolatility.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2015 | The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2016 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2017) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2016 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2016 | A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | A 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 nother version. Agregated cites: 0 | paper | |
2016 | Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 12 |
2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2017 | Forecasting the Volatility of Nikkei 225 Futures In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Forecasting the Volatility of Nikkei 225 Futures.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2017 | Forecasting the volatility of Nikkei 225 futures.(2017) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2016 | Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited In: Econometrics. [Full Text][Citation analysis] | article | 4 |
2021 | Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2005 | Comparison of MCMC Methods for Estimating Stochastic Volatility Models In: Computational Economics. [Full Text][Citation analysis] | article | 4 |
2021 | On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2013 | A Fractionally Integrated Wishart Stochastic Volatility Model In: KIER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | A fractionally integrated Wishart stochastic volatility model.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2013 | A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models In: Discussion Papers in Economics and Business. [Full Text][Citation analysis] | paper | 0 |
2021 | Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix In: Discussion Papers in Economics and Business. [Full Text][Citation analysis] | paper | 1 |
2023 | Estimation of high-dimensional vector autoregression via sparse precision matrix.(2023) In: The Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1999 | Time series evidence on a new Keynesian theory of the output-inflation trade-off In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
2008 | The relationship between stock return volatility and trading volume: the case of the Philippines In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
2010 | General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
2012 | Forecasting volatility using range data: analysis for emerging equity markets in Latin America In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
2005 | Dynamic Asymmetric Leverage in Stochastic Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 32 |
2006 | Multivariate Stochastic Volatility: A Review In: Econometric Reviews. [Full Text][Citation analysis] | article | 176 |
2006 | Asymmetric Multivariate Stochastic Volatility In: Econometric Reviews. [Full Text][Citation analysis] | article | 44 |
2005 | Asymmetric Multivariate Stochastic Volatility.(2005) In: DEA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2023 | Bayesian non?linear quantile effects on modelling realized kernels In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2013 | Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range In: Journal of Forecasting. [Citation analysis] | article | 8 |
2017 | Stochastic Multivariate Mixture Covariance Model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
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