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Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised
Persistent link: https://www.econbiz.de/10011448006
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011500273
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011631770
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Realized stochastic volatility models with generalized Gegenbauer long memory
Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017
Persistent link: https://www.econbiz.de/10011742720
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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
Persistent link: https://www.econbiz.de/10011659216
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228