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Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Persistent link: https://www.econbiz.de/10011590424

Stress testing correlation matrices for risk management

So, Mike K.P.; Wong, Jerry; Asai, Manabu - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 310-322

Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

Persistent link: https://www.econbiz.de/10010730263

Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 202-213

For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR …

Persistent link: https://www.econbiz.de/10010679173

Forecasting the Volatility of Nikkei 225 Futures

Asai, Manabu; McAleer, Michael - 2017

Persistent link: https://www.econbiz.de/10011662515

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

The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

Asai, Manabu; Gupta, Rangan; McAleer, Michael - 2019

Persistent link: https://www.econbiz.de/10011986953

Generalized fractional processes with long memory and time dependent volatility revisited

Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21

follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …

Persistent link: https://www.econbiz.de/10011568296

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

Persistent link: https://www.econbiz.de/10011536626

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