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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
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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
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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
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Modeling the diffusion of scientific publications
Fok, Dennis; Franses, Philip Hans - In: Journal of econometrics 139 (2007) 2, pp. 376-390
Persistent link: https://www.econbiz.de/10003485373
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A nonlinear long memory model, with an application to US unemployment
Dijk, Dick van; Franses, Philip Hans; Paap, Richard - In: Journal of econometrics 110 (2002) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10001703505