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~accessRights:"restricted"
~isPartOf:"CESifo Forum"
~isPartOf:"Environmental modeling & assessment"
~isPartOf:"Journal of econometrics"
~person:"Koo, Bonsoo"
~person:"McAleer, Michael"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Autokorrelation"
~subject:"EU-Staaten"
~subject:"Estimation"
~subject:"Innovation"
~subject:"Schätzung"
~subject:"Structural innovations"
~subject:"Theorie"
~subject:"Welt"
~subject:"Ökonometrisches Modell"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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ECONIS (ZBW)
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1
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
2
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
3
Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo
;
Seo, Myung Hwan
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 166-181
Persistent link: https://www.econbiz.de/10011500287
Saved in:
4
Indirect inference for locally stationary models
Frazier, David T.
;
Koo, Bonsoo
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012619956
Saved in:
5
High-dimensional predictive regression in the presence of cointegration
Koo, Bonsoo
;
Anderson, Heather M.
;
Seo, Myung Hwan
; …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 456-477
Persistent link: https://www.econbiz.de/10012483404
Saved in:
6
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
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