Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance-Reference-Cited by-同舟云学术

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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Published:2015-12 Issue:2 Volume:189 Page:251-262
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Asai Manabu,McAleer Michael

Funder

Society for the Promotion of Science

Australian Academy of Science

Australian Research Council

National Science Council, Taiwan

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference85 articles.

1. Realized volatility forecasting and market microstructure noise;Andersen;J. Econometrics,2011

2. Heterogeneous asymmetric dynamic conditional correlation model with stock return and range;Asai;J. Forecast.,2013

3. Asymmetric multivariate stochastic volatility;Asai;Econometric Rev.,2006

4. The Structure of dynamic correlations in multivariate stochastic volatility models;Asai;J. Econometrics,2009

5. Multivariate stochastic volatility, leverage and news impact surfaces;Asai;Econom. J.,2009

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