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Citations for "The structure of dynamic correlations in multivariate stochastic volatility models"

by Asai, Manabu & McAleer, Michael

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  1. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
  2. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  3. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
  4. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
  5. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
  6. Christian M. Hafner & Hans Manner, 2012. "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 269-295, 03.
  7. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  8. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
  9. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
  10. Xiao, Yuewen & Ku, Yu-Cheng & Bloomfield, Peter & Ghosh, Sujit K., 2015. "On the degrees of freedom in MCMC-based Wishart models for time series data," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 59-64.
  11. repec:dau:papers:123456789/6800 is not listed on IDEAS
  12. Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-1019, CIRJE, Faculty of Economics, University of Tokyo.
  13. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
  14. So, Mike K.P. & Yeung, Cherry Y.T., 2014. "Vine-copula GARCH model with dynamic conditional dependence," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 655-671.
  15. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
  16. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  17. Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  18. Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
  19. Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
  20. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo.
  21. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
  22. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  23. Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
  24. Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo.
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