Similar Search Results

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

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009619566

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

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767006

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

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009562985

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

Modelling and forecasting noisy realized volatility

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2011 - Rev.

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...

Persistent link: https://www.econbiz.de/10008936142