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~person:"Chang, Chia-Lin"
~person:"Robinson, Peter M."
~person:"Sibbertsen, Philipp"
~subject:"Asymmetry"
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Zeitreihenanalyse
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Chang, Chia-Lin
Robinson, Peter M.
Sibbertsen, Philipp
Asai, Manabu
8
McAleer, Michael
8
Klein, Tony
5
Walther, Thomas
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Aloui, Chaker
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1
Realized matrix-exponential stochastic volatility with asymmetry, long
memory
and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Realized Stochastic Volatility with General Asymmetry and Long
Memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
incorporates general asymmetry and long
memory
(hereafter the RSV-GALM model). The contribution of the paper ties in with Robert …
Persistent link: https://www.econbiz.de/10011662536
Saved in:
3
Realized stochastic volatility with general asymmetry and long
memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
incorporates general asymmetry and long
memory
(hereafter the RSV-GALM model). The contribution of the paper ties in with Robert …
Persistent link: https://www.econbiz.de/10011636455
Saved in:
4
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 …
Persistent link: https://www.econbiz.de/10011586691
Saved in:
5
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 …
Persistent link: https://www.econbiz.de/10011536626
Saved in:
6
Realized stochastic volatility with general asymmetry and long
memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
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