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Number of items: 17.

Asai, Manabu and McAleer, Michael (2013) A Fractionally Integrated Wishart Stochastic Volatility Model. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 07, 2013, ] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Asymmetry and Long Memory in Volatility Modelling. [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 29, 2011, ] (Unpublished)

Asai, Manabu and McAleer, Michael (2016) Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 14, 2016, ISSN: 2341-2356 ]

Asai, Manabu and Chang, Chia-Lin and McAleer, Michael and Laurent, Pauwels (2018) Asymptotic Theory for Rotated Multivariate GARCH Models. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 27, ISSN: 2341-2356 ]

Asai, Manabu and McAleer, Michael (2018) Bayesian analysis of realized matrix-exponential GARCH models. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 04, 2018, ISSN: 2341-2356 ]

Asai, Manabu and Peiris, Shelton and McAleer, Michael and Allen, David E. (2018) Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. [ Documentos de Trabajo del ICAE; nº 22, 2018, ISSN: 2341-2356 ] (Unpublished)

Asai, Manabu and McAleer, Michael (2011) Dynamic Conditional Correlations for Asymmetric Processes. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico; nº 30, 2011, ] (Unpublished)

Peiris, Shelton and Asai, Manabu and McAleer, Michael (2016) Estimating and forecasting generalized fractional Long memory stochastic volatility models. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 08, 2016, ISSN: 2341-2356 ]

Asai, Manabu and McAleer, Michael (2014) Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 05, 2014, ] (Unpublished)

Asai, Manabu and Caporin, Massimiliano and McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 03, 2012, ] (Submitted)

Asai, Manabu and McAleer, Michael (2017) Forecasting the volatility of Nikkei 225 futures. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 07, 2017, ISSN: 2341-2356 ] (Unpublished)

Asai, Manabu and McAleer, Michael (2013) Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2013, ] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Modelling and Forecasting Noisy Realized Volatility. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 09, 2011, ] (Submitted)

Asai, Manabu and Chang, Chia-Lin and McAleer, Michael (2016) Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 15, 2016, ISSN: 2341-2356 ]

Asai, Manabu and McAleer, Michael and Peiris, Shelton (2017) Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 26, 2017, ISSN: 2341-2356 ]

Asai, Manabu and McAleer, Michael (2015) The Impact of Jumps and Leverage in Forecasting Co-Volatility. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2015, ISSN: 2341-2356 ] (Unpublished)

Asai, Manabu and Gupta, Rangan and McAleer, Michael (2019) The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 12, 2019, ISSN: 2341-2356 ]

This list was generated on Mon Jun 17 01:42:59 2019 CEST.