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Multivariate stochastic volatility, leverage and news impact surfaces

Asai, Manabu; McAleer, Michael - In: The econometrics journal 12 (2009) 2, pp. 292-309

Persistent link: https://www.econbiz.de/10003875671

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

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

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

Shin, Minseok; Kim, Donggyu; Wang, Yazhen; Fan, Jianqing - 2021

estimation method for a high-dimensional VAR model. We apply the robust estimator to predicting large volatility matrices and … estimation and prediction methods. Using high-frequency trading data, we apply the proposed method to large volatility matrix …

Persistent link: https://www.econbiz.de/10013211439