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Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213

Persistent link: https://www.econbiz.de/10011897674

Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models

Asai, Manabu - In: Journal of empirical finance 15 (2008) 2, pp. 332-341

Persistent link: https://www.econbiz.de/10003699171

Asymmetric multivariate stochastic volatility

Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473

Persistent link: https://www.econbiz.de/10003355815

Asymmetry and leverage in realized volatility

Asai, Manabu (contributor); McAleer, Michael (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003780794

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Asai, Manabu - 2017

In recent years fractionally diﬀerenced processes have received a great deal of attention due to their ﬂexibility in ﬁnancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...

Persistent link: https://www.econbiz.de/10012944285

Bayesian non-linear quantile effects on modelling realized kernels

Dong, Manh Cuong; Chen, Cathy W. S.; Asai, Manabu - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 981-995

Persistent link: https://www.econbiz.de/10014253335

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

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

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

A fractionally integrated Wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59

Persistent link: https://www.econbiz.de/10011794625