E-Prints Complutense

Asai, Manabu and McAleer, Michael (2013) A Fractionally Integrated Wishart Stochastic Volatility Model. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Asymmetry and Long Memory in Volatility Modelling. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael (2011) Dynamic Conditional Correlations for Asymmetric Processes. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and Caporin, Massimiliano and McAleer, Michael (2012) Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. [Working Paper or Technical Report] (Submitted)

Asai, Manabu and McAleer, Michael (2013) Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing. [Working Paper or Technical Report] (Unpublished)

Asai, Manabu and McAleer, Michael and Medeiros, Marcelo C. (2011) Modelling and Forecasting Noisy Realized Volatility. [Working Paper or Technical Report] (Submitted)