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McAleer, Michael; Chan, Felix; Oxley, Les - Institute of Economic Research, Kyoto University - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10010860080

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011272957

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348

Modelling and Simulation: An Overview

McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011162548

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011256964

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011257254