Search Results - "Asai, Manabu"

Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks by Asai, Manabu, Gupta, Rangan, McAleer, Michael

“…To forecast the covariance matrix for the returns of crude oil and gold futures, this paper examines the effects of leverage, jumps, spillovers, and…”
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Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter by Asai, Manabu

“…Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are…”
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Bayesian Analysis of Realized Matrix-Exponential GARCH Models by Asai, Manabu, McAleer, Michael

“…This study develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix…”
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High‐dimensional sparse multivariate stochastic volatility models by Poignard, Benjamin, Asai, Manabu

“…Although multivariate stochastic volatility models usually produce more accurate forecasts compared with the MGARCH models, their estimation techniques such as…”
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Estimation of high-dimensional vector autoregression via sparse precision matrix by Poignard, Benjamin, Asai, Manabu

“…Summary We consider the problem of estimating sparse vector autoregression (VAR) via penalized precision matrices. This matrix is the output of the underlying…”
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The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures by Asai, Manabu, Gupta, Rangan, McAleer, Michael

“…This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a…”
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The impact of jumps and leverage in forecasting covolatility by Asai, Manabu, McAleer, Michael

“…The paper investigates the impact of jumps in forecasting covolatility, accommodating leverage effects. We modify the preaveraged truncated covariance…”
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The structure of dynamic correlations in multivariate stochastic volatility models by Asai, Manabu, McAleer, Michael

“…This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC)…”
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Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models by Asai, Manabu, So, Mike K. P.

“…In this article, we consider a quasi‐maximum likelihood (QML) estimation of conditional autoregressive Wishart models, which generalize the conditional…”
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Forecasting the volatility of Nikkei 225 futures by Asai, Manabu, McAleer, Michael

“…This article proposes an indirect method for forecasting the volatility of futures returns, based on the relationship between futures and the underlying asset…”
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On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations by Chen, Cathy W. S., Than-Thi, Hong, Asai, Manabu

“…This paper investigates a conditionally dynamic asymmetric structure in correlations when multivariate time series follow a hysteretic autoregressive GARCH…”
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A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs by Asai, Manabu, Chang, Chia-Lin, McAleer, Michael, Pauwels, Laurent

“…The article examines exchange-traded funds (ETFs) for green and sustainable energy regarding causality in their asset returns and volatilities. The structural…”
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Asymptotic and finite sample properties for multivariate rotated GARCH models by Asai, Manabu, Chang, Chia-Lin, McAleer, Michael, Pauwels, Laurent

“…This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of…”
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Forecasting Value-at-Risk using block structure multivariate stochastic volatility models by Asai, Manabu, Caporin, Massimiliano, McAleer, Michael

“…Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong…”
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Generalized fractional processes with long memory and time dependent volatility revisited by Peiris, M. Shelton, Asai, Manabu

“…In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with…”
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Forecasting volatility using range data: analysis for emerging equity markets in Latin America by Asai, Manabu, Brugal, Iván

“…The article suggests a simple but effective approach for estimating value-at-risk thresholds using range data, working with the filtered historical simulation…”
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Stochastic Multivariate Mixture Covariance Model by So, Mike K. P., Li, Raymond W. M., Asai, Manabu, Jiang, Yue

“…Stochastic covariance models have been explored in recent research to model the interdependence of assets in financial time series. The approach uses a single…”
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Multivariate stochastic volatility, leverage and news impact surfaces by Asai, Manabu, McAleer, Michael

“…Alternative multivariate stochastic volatility (MSV) models with leverage have been proposed in the literature. However, the existing MSV with leverage models…”
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Comparison of MCMC Methods for Estimating Stochastic Volatility Models by Asai, Manabu

“…This article investigates performances of MCMC methods to estimate stochastic volatility models on simulated and real data. There are two efficient MCMC…”
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Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application by Asai, Manabu

“…For the panel generalized autoregressive conditional heteroskedasticity (GARCH) model, the conditions for the stationarity and positive definiteness of…”
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