15
H index
23
i10 index
1089
Citations
Manabu Asai : Citation Profile
Soka University | RESEARCH PRODUCTION: 50 Articles 86 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1999 - 2026). Relations with other researchers
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:
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Main data
Where Manabu Asai has published?
Recent works citing Manabu Asai (2026 and 2025)
| Year | Title of citing document |
|---|---|
| 2025 | Time-frequency analysis of geopolitical risk and food commodity market: a wavelet based investigation. (2025). , Aiswarya ; Muralikrishna, Muthumeenakshi. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:364310. Full description at Econpapers || Download paper |
| 2025 | A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
| 2026 | Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343. Full description at Econpapers || Download paper |
| 2025 | Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985. Full description at Econpapers || Download paper |
| 2025 | Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796. Full description at Econpapers || Download paper |
| 2026 | A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198. Full description at Econpapers || Download paper |
| 2025 | Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546. Full description at Econpapers || Download paper |
| 2025 | Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528. Full description at Econpapers || Download paper |
| 2025 | Earthquakes and Stock Market Performance: Evidence from Japan. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Muoz, Leyre. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11822. Full description at Econpapers || Download paper |
| 2025 | Analyzing dynamics of crude oil price amid sudden events and intervention measures: Insights from a Prophet-QR model. (2025). Lin, Feng ; Zhuo, Xingxuan ; Ye, Jianjiang ; Liu, Han. In: Applied Energy. RePEc:eee:appene:v:401:y:2025:i:pb:s030626192501445x. Full description at Econpapers || Download paper |
| 2025 | Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970. Full description at Econpapers || Download paper |
| 2025 | Global geopolitical risk and stock price informativeness. (2025). Li, Yunzhong ; Shum, Wai Yan ; Wang, Fuxiang ; Lai, Fujun. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:87:y:2025:i:c:p:2279-2297. Full description at Econpapers || Download paper |
| 2025 | Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087. Full description at Econpapers || Download paper |
| 2025 | Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x. Full description at Econpapers || Download paper |
| 2025 | Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132. Full description at Econpapers || Download paper |
| 2025 | Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958. Full description at Econpapers || Download paper |
| 2025 | Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398. Full description at Econpapers || Download paper |
| 2025 | Dynamic risk spillover in green financial markets: A wavelet frequency analysis from China. (2025). Shang, Junyan ; Zhao, Xiaojun ; Wang, Yiding. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001240. Full description at Econpapers || Download paper |
| 2025 | The impact of geopolitical risk on higher-order moment risk spillovers in global energy markets. (2025). Xu, Xin ; Yu, YI ; Bi, Yanhao ; Xie, Qichang. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s014098832500115x. Full description at Econpapers || Download paper |
| 2025 | Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization. (2025). Gao, Xuerui ; Sun, Zhangshuang ; Wang, Guoqiang ; Tao, Jiyuan ; Bai, Yanqin ; Luo, Kangyang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500073x. Full description at Econpapers || Download paper |
| 2025 | Shortages and machine-learning forecasting of oil returns volatility: 1900–2024. (2025). GUPTA, RANGAN ; Karmakar, Sayar ; Somani, Dhanashree ; Polat, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005975. Full description at Econpapers || Download paper |
| 2025 | Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198. Full description at Econpapers || Download paper |
| 2025 | A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607. Full description at Econpapers || Download paper |
| 2025 | Navigating the path to sustainable development: Chinas revolution in renewable energy through technological innovation and geopolitical risk management. (2025). Raza, Hamid ; Sajid, Bilal ; Li, Junhui. In: Renewable Energy. RePEc:eee:renene:v:244:y:2025:i:c:s0960148125002605. Full description at Econpapers || Download paper |
| 2025 | The exponential HEAVY model: an improved approach to volatility modeling and forecasting. (2025). Xu, Yongdeng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01358-1. Full description at Econpapers || Download paper |
| 2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper |
| 2025 | On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021. Full description at Econpapers || Download paper |
Works by Manabu Asai:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Highâ€dimensional sparse multivariate stochastic volatility models.(2023) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2026 | Factor multivariate stochastic volatility models of high dimension In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Quasiâ€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 | 1 |
| 2018 | Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 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 | 6 |
| 2010 | Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 26 |
| 2012 | Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | 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: 26 | paper | |
| 2011 | Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2009 | Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2011 | Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2010 | Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 41 |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
| 2010 | Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 38 |
| 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: 38 | 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: 38 | paper | |
| 2012 | Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
| 2011 | Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2010 | Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 32 |
| 2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2011 | Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
| 2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | 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 | |
| 2011 | Dynamic Conditional Correlations for Asymmetric Processes.(2011) In: Documentos de Trabajo del ICAE. [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 | |
| 2012 | Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE. [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 | 21 |
| 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: 21 | 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: 21 | paper | |
| 2014 | Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | 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. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) 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 | 215 |
| 2009 | Multivariate Stochastic Volatility.(2009) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 215 | chapter | |
| 2007 | Multivariate stochastic volatility.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 215 | 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 | 44 |
| 2016 | Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 21 |
| 2011 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series. [Citation analysis] This paper has nother version. Agregated cites: 21 | 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: 21 | 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: 21 | 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: 21 | 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 | 13 |
| 2013 | Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 11 |
| 2009 | The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 54 |
| 2015 | Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
| 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: 11 | 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: 11 | paper | |
| 2013 | Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2017 | Realized stochastic volatility with general asymmetry and long memory In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
| 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: 18 | 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: 18 | paper | |
| 2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2020 | Realized stochastic volatility models with generalized Gegenbauer long memory In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 15 |
| 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: 15 | 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: 15 | paper | |
| 2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | 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 | 96 |
| 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: 96 | 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 |
| 2026 | Maximum likelihood estimation for singular Wishart distributions In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models.(2022) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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: 1 | paper | |
| 2018 | Bayesian analysis of realized matrix-exponential GARCH models.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 | |
| 2018 | Asymptotic Theory for Rotated Multivariate GARCH Models.(2018) In: Documentos de Trabajo del ICAE. [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 | 36 |
| 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: 36 | 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: 36 | paper | |
| 2019 | The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures.(2019) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2015 | The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | 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: 10 | paper | |
| 2015 | The Impact of Jumps and Leverage in Forecasting Co-Volatility.(2015) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | 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 | Estimating and forecasting generalized fractional Long memory stochastic volatility models.(2016) In: Documentos de Trabajo del ICAE. [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 | Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes.(2016) In: Documentos de Trabajo del ICAE. [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 | 14 |
| 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: 14 | paper | |
| 2016 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers.(2016) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2017 | Forecasting the Volatility of Nikkei 225 Futures In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 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: 2 | paper | |
| 2017 | Forecasting the volatility of Nikkei 225 futures.(2017) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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: 2 | article | |
| 2023 | Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter In: Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited In: Econometrics. [Full Text][Citation analysis] | article | 5 |
| 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 | 1 |
| 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 | |
| 2013 | A Fractionally Integrated Wishart Stochastic Volatility Model.(2013) In: Documentos de Trabajo del ICAE. [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 | 35 |
| 2006 | Multivariate Stochastic Volatility: A Review In: Econometric Reviews. [Full Text][Citation analysis] | article | 195 |
| 2006 | Asymmetric Multivariate Stochastic Volatility In: Econometric Reviews. [Full Text][Citation analysis] | article | 45 |
| 2005 | Asymmetric Multivariate Stochastic Volatility.(2005) In: DEA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
| 2023 | Bayesian nonâ€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 | 10 |
| 2017 | Stochastic Multivariate Mixture Covariance Model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
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