Información del autor
Documentos disponibles escritos por este autor (16)
Añadir el resultado a su cesta Hacer una sugerencia Refinar búsqueda
texto impreso
Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | 2011-08A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compa[...]texto impreso
Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistica[...]texto impreso
Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2018The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric functi[...]texto impreso
Asai, Manabu ; Peiris, Shelton ; McAleer, Michael ; Allen, David E. | 2018-09Recent developments in econometric methods enable estimation and testing of general long memory process, which include the general Gegenbauer process. This paper considers the error correction model for a vector general long memory process, whic[...]texto impreso
Asai, Manabu ; McAleer, Michael | 2011-08The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardi[...]texto impreso
Peiris, Shelton ; Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporati[...]texto impreso
Asai, Manabu ; McAleer, Michael | 2014-03Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measure[...]texto impreso
Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers [...]texto impreso
Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael | 2012-03Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Rece[...]texto impreso
Asai, Manabu ; McAleer, Michael | 2013-01There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We der[...]texto impreso
Asai, Manabu ; McAleer, Michael | 2013-01The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and multifactor for the covariance process. The paper gives the closed-form solution for the co[...]texto impreso
Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04Several 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 volatil[...]texto impreso
Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The 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 transformatio[...]texto impreso
Asai, Manabu ; McAleer, Michael ; Peiris, Shelton | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017In recent years fractionally differenced processes have received a great deal of attention due to their exibility in nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general G[...]texto impreso
Asai, Manabu ; McAleer, Michael | 2015-02The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite.[...]
