Manabu Asai : Citation Profile


Are you Manabu Asai?

Soka University

15

H index

21

i10 index

954

Citations

RESEARCH PRODUCTION:

49

Articles

68

Papers

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 39
   Journals where Manabu Asai has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 79 (7.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas73
   Updated: 2024-01-16    RAS profile: 2023-08-20    
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Relations with other researchers


Works with:

GUPTA, RANGAN (5)

Chang, Chia-Lin (3)

Chen, Cathy W. S. (2)

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

Is cited by:

GUPTA, RANGAN (63)

Omori, Yasuhiro (61)

Caporin, Massimiliano (43)

Pierdzioch, Christian (34)

Veiga, Helena (31)

Medeiros, Marcelo (26)

Ruiz, Esther (21)

Hallin, Marc (20)

Barigozzi, Matteo (20)

Demirer, Riza (17)

Chang, Chia-Lin (16)

Cites to:

Shephard, Neil (96)

Bollerslev, Tim (90)

Engle, Robert (70)

Hansen, Peter (48)

Yu, Jun (45)

Diebold, Francis (43)

Andersen, Torben (36)

Omori, Yasuhiro (35)

Lunde, Asger (33)

Harvey, Andrew (30)

Koopman, Siem Jan (29)

Main data


Where Manabu Asai has published?


Journals with more than one article published# docs
Econometric Reviews6
Journal of Econometrics5
Journal of Time Series Econometrics4
Econometrics3
Computational Economics3
Journal of Time Series Analysis2
Journal of Forecasting2
Computational Statistics & Data Analysis2
Mathematics and Computers in Simulation (MATCOM)2
Econometrics and Statistics2
The North American Journal of Economics and Finance2
International Journal of Forecasting2
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 Institute19
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
Discussion Papers in Economics and Business / Osaka University, Graduate School of Economics2
Working Papers / University of Pretoria, Department of Economics2

Recent works citing Manabu Asai (2024 and 2023)


YearTitle of citing document
2023Bitcoin 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.

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2023Change 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.

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2023Spatial 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.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Bayesian 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.

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2023Scalable 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.

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2023Modeling 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.

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2023Macroeconomic 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.

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2023Modeling 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.

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2023Estimating 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.

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2023Modeling 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.

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2023Forecasting 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.

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2023The 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.

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2023Time-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.

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2023Dependence 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.

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2023Asymmetric 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.

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2023Geopolitical 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.

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2023Bubble 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.

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2023Roling-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.

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2023Quantile 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.

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2023Measuring 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.

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2023The 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.

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2023Return–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.

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2023.

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2023Volatility 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.

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2023Composite 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.

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2023Do 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.

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2023A 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.

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2023.

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2023Review 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.

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Works by Manabu Asai:


YearTitleTypeCited
2022High-Dimensional Sparse Multivariate Stochastic Volatility Models In: Papers.
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2023High?dimensional sparse multivariate stochastic volatility models.(2023) In: Journal of Time Series Analysis.
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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models In: Journal of Time Series Analysis.
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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics.
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article0
2022Multivariate Hyper-Rotated GARCH-BEKK In: Journal of Time Series Econometrics.
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article1
2023Realized BEKK-CAW Models In: Journal of Time Series Econometrics.
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article0
2015Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes In: Journal of Time Series Econometrics.
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article5
2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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paper25
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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paper
2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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paper37
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: The Journal of Financial Econometrics.
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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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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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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: KIER Working Papers.
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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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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance In: Working Papers in Economics.
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paper18
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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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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article41
2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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article18
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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article12
2013Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance.
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article10
2009The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics.
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article50
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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2017Realized stochastic volatility with general asymmetry and long memory In: Journal of Econometrics.
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2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Econometric Institute Research Papers.
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2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Tinbergen Institute Discussion Papers.
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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers In: Journal of Econometrics.
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2020Realized stochastic volatility models with generalized Gegenbauer long memory In: Econometrics and Statistics.
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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Econometric Institute Research Papers.
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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Tinbergen Institute Discussion Papers.
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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application In: Econometrics and Statistics.
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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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2008A Portfolio Index GARCH model In: International Journal of Forecasting.
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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks In: International Journal of Forecasting.
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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks.(2019) In: Working Papers.
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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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2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models In: Econometric Institute Research Papers.
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2022Bayesian Analysis of Realized Matrix-Exponential GARCH Models.(2022) In: Computational Economics.
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2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models.(2018) In: Tinbergen Institute Discussion Papers.
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2018Cointegrated Dynamics for A Generalized Long Memory Process In: Econometric Institute Research Papers.
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2018Asymptotic Theory for Rotated Multivariate GARCH Models In: Econometric Institute Research Papers.
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2019Asymptotic Theory for Rotated Multivariate GARCH Models.(2019) In: Working Papers.
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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures In: Econometric Institute Research Papers.
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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures.(2019) In: Energies.
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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures.(2019) In: Working Papers.
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2015The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers.
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2017The impact of jumps and leverage in forecasting covolatility.(2017) In: Econometric Reviews.
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2015The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Tinbergen Institute Discussion Papers.
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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models In: Econometric Institute Research Papers.
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2017Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2017) In: JRFM.
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2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.(2016) In: Tinbergen Institute Discussion Papers.
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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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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers In: Econometric Institute Research Papers.
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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Tinbergen Institute Discussion Papers.
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2017Forecasting the Volatility of Nikkei 225 Futures In: Econometric Institute Research Papers.
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2017Forecasting the Volatility of Nikkei 225 Futures.(2017) In: Tinbergen Institute Discussion Papers.
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2017Forecasting the volatility of Nikkei 225 futures.(2017) In: Journal of Futures Markets.
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2023Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter In: Econometrics.
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2017A fractionally integrated Wishart stochastic volatility model.(2017) In: Econometric Reviews.
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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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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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