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~accessRights:"free"
~person:"Chang, Chia-Lin"
~person:"Robinson, Peter M."
~subject:"Time series analysis"
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Chang, Chia-Lin
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Realized matrix-exponential stochastic volatility with asymmetry, long
memory
and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
covariances that incorporates asymmetry and long
memory
(hereafter the RMESV-ALM model). The matrix exponential transformation …
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