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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 covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

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

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

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304

Persistent link: https://www.econbiz.de/10013441658

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011571858

Structure and asymptotic theory for nonlinear models with GARCH errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.

processes or the associated asymptotic theory. In this paper, we first derive necessary conditions for strict stationarity and …

Persistent link: https://www.econbiz.de/10008840775

Structure and asymptotic theory for nonlinear models with GARCH Errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008760483

Modelling intra-day seasonality and forecasting densities in financial duration data

Allen, David E. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003805629

Annals issue: Time series analysis of higher moments and distributions of financial data

Andersen, Torben (ed.); Chang, Chia-Lin (ed.); … - Association of Asia-Pacific Business School's Academic … - 2022

Persistent link: https://www.econbiz.de/10013440599

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

Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

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