15
H index
22
i10 index
1012
Citations
Manabu Asai : Citation Profile
Soka University | RESEARCH PRODUCTION: 47 Articles 86 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1999 - 2024). 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
| 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 |
| 2024 | Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042. Full description at Econpapers || Download paper |
| 2024 | Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019. Full description at Econpapers || Download paper |
| 2024 | Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420. 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 |
| 2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. 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 |
| 2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. 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 | Risk spillovers across geopolitical risk and global financial markets. (2023). Wen, Baoyu ; Zheng, Jinlin ; Shen, Yue ; Wang, Xiaohan ; Jiang, Yaohui. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005492. Full description at Econpapers || Download paper |
| 2023 | The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Hao ; Xu, Yongan. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005625. Full description at Econpapers || Download paper |
| 2024 | Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; Nielsen, Joshua ; Gupta, Rangan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403. Full description at Econpapers || Download paper |
| 2024 | Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods. (2024). Zhao, Rongjie ; Nie, HE ; Mo, Bin. In: Energy. RePEc:eee:energy:v:288:y:2024:i:c:s0360544223031535. 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 | Jumps and gold futures volatility prediction. (2023). Ma, Xiaoqi ; Li, Xiaoqian. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008644. Full description at Econpapers || Download paper |
| 2023 | Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023. (2023). Plakandaras, Vasilios ; Pierdzioch, Christian ; GUPTA, RANGAN ; Ji, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008735. Full description at Econpapers || Download paper |
| 2023 | Market momentum amplifies market volatility risk: Evidence from China’s equity market. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001245. Full description at Econpapers || Download paper |
| 2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. 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 |
| 2024 | Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069. 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 | Extraction of natural resources and geopolitical risk revisited: A novel perspective of research and development with financial development. (2023). Shi, Shaodong ; Zhang, Jialin. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s030142072300510x. Full description at Econpapers || Download paper |
| 2023 | Geopolitical risk on energy, agriculture, livestock, precious and industrial metals: New insights from a Markov Switching model. (2023). Tarchella, Salma ; Kaabia, Olfa ; Dhaoui, Abderrazak ; Abid, Ilyes. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006360. Full description at Econpapers || Download paper |
| 2023 | The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach. (2023). Mandaci, Nazif ; Azimli, Asil. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682. Full description at Econpapers || Download paper |
| 2023 | Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries. (2023). Tedeschi, Marco ; Palomba, Giulio ; Foglia, Matteo. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007675. Full description at Econpapers || Download paper |
| 2024 | The impacts of geopolitical risks on gold, oil and financial reserve management. (2024). Hoang, Yen Hai ; van Nguyen, Phuc ; Ngo, Vu Minh. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724000552. 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 |
| 2024 | The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Zhao, Kai ; Kao, Yu-Sheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:524-542. Full description at Econpapers || Download paper |
| 2024 | Exploring the ingredients, mixtures, and inclinations of geopolitical risk. (2024). Kannadhasan, M ; Halder, Abhishek ; Tamilselvan, M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:187-206. 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 | On Asymmetric Correlations and Their Applications in Financial Markets. (2023). Liu, Conan ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:187-:d:1092699. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | How does environmental performance ensured energy transition? Impact of ecological change. (2024). Zhang, Shuguang ; Liu, Zixin. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:2:d:10.1007_s10644-024-09636-7. 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 |
Works by Manabu Asai:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | 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 |
| .() In: . [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 | 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 | |
| .() In: . [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 | 40 |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2009 | Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2010 | Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 34 |
| 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: 34 | 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: 34 | 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: 34 | article | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | ||
| 2010 | Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 31 |
| 2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2010 | Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2011 | Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2009 | Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | 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 | |
| .() In: . [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 | |
| .() In: . [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 | |
| .() In: . [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 | 42 |
| 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 | 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 | 50 |
| 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 | |
| .() In: . [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 | 14 |
| 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: 14 | 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: 14 | paper | |
| 2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2020 | Realized stochastic volatility models with generalized Gegenbauer long memory In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 11 |
| 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: 11 | 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: 11 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | 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 | 84 |
| 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: 84 | 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 | |
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| 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 | |
| .() In: . [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 | 35 |
| 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: 35 | 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: 35 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | ||
| 2015 | The Impact of Jumps and Leverage in Forecasting Co-Volatility In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 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: 9 | 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: 9 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | 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 | |
| .() In: . [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 | |
| .() In: . [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 | |
| .() In: . [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 | |
| .() In: . [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 | 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 | |
| .() In: . [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 | 185 |
| 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 | |
| 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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