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~person:"Chang, Chia-Lin"
~person:"Robinson, Peter M."
~subject:"Time series analysis"
~subject:"Volatilität"
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Chang, Chia-Lin
Robinson, Peter M.
Gil-Alaña, Luis A.
102
Caporale, Guglielmo Maria
72
Sibbertsen, Philipp
41
Gupta, Rangan
21
Leschinski, Christian
19
Plastun, Alex
17
Asai, Manabu
13
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11
Boubaker, Heni
10
Lux, Thomas
10
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8
Nielsen, Morten Ørregaard
8
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8
Baillie, Richard
7
Lovcha, Yuliya
7
Ajmi, Ahdi Noomen
6
Mensi, Walid
6
Perron, Pierre
6
Rodriguez, Gabriel
6
Shi, Yanlin
6
Tripathy, Trilochan
6
Yu, Jun
6
Baruník, Jozef
5
Carcel, Hector
5
Christensen, Bent Jesper
5
Ergemen, Yunus Emre
5
Günay, Samet
5
Han, Young Wook
5
Hassler, Uwe
5
Iacone, Fabrizio
5
Klein, Tony
5
Martin, Gael M.
5
Nasr, Adnen Ben
5
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5
Peiris, Shelton
5
Poskitt, Donald Stephen
5
Walther, Thomas
5
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5
Yoon, Seong-min
5
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ECONIS (ZBW)
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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 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:
3
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:
4
The estimation of misspecified long
memory
models
Robinson, Peter M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 225-230
Persistent link: https://www.econbiz.de/10010256170
Saved in:
5
Time series with long
memory
Robinson, Peter M.
(
contributor
)
-
2003
Persistent link: https://www.econbiz.de/10001685690
Saved in:
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