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Non-trading day effects in asymmetric conditional and stochastic volatility models

Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123

Persistent link: https://www.econbiz.de/10003451750

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008664039

Asymmetry and long memory in volatility modeling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512

Persistent link: https://www.econbiz.de/10009571512

Heterogeneous asymmetric dynamic conditional correlation model with stock return and range

Asai, Manabu - In: Journal of forecasting 32 (2013) 5, pp. 469-480

Persistent link: https://www.econbiz.de/10009788806

The relationship between stock return volatility and trading volume : the case of the Philippines

Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 18 (2008) 16/18, pp. 1333-1341

Persistent link: https://www.econbiz.de/10003779488

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range

Asai, Manabu - 2012

The paper considers the return and range model with dynamic conditional correlations (DCC). The paper suggests the new speci cations for the asymmetric effects on log-volatilities and dynamic correlations, combined with long-run dependences. The new DCC model can be estimated by the...

Persistent link: https://www.econbiz.de/10013100553