Details about Manabu Asai

Access statistics for papers by Manabu Asai.

Last updated 2024-07-06. Update your information in the RePEc Author Service.

Short-id: pas73

Working Papers

2024

1. Factor multivariate stochastic volatility models of high dimension
   Papers, arXiv.org

2022

2. High-Dimensional Sparse Multivariate Stochastic Volatility Models
   Papers, arXiv.org
   See also Journal Article High‐dimensional sparse multivariate stochastic volatility models, Journal of Time Series Analysis, Wiley Blackwell (2023) (2023)

2021

3. Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
   See also Journal Article Estimation of high-dimensional vector autoregression via sparse precision matrix, The Econometrics Journal, Royal Economic Society (2023) View citations (1) (2023)

2020

4. A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics

2019

5. Asymptotic Theory for Rotated Multivariate GARCH Models
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
6. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
   Working Papers, University of Pretoria, Department of Economics View citations (3)
   See also Journal Article Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks, International Journal of Forecasting, Elsevier (2020) View citations (80) (2020)
7. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (34)
   Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (35)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) View citations (3)
   See also Journal Article The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Energies, MDPI (2019) View citations (35) (2019)

2018

8. Bayesian Analysis of Realized Matrix-Exponential GARCH Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2018)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
   See also Journal Article Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Computational Economics, Springer (2022) (2022)
9. Cointegrated Dynamics for A Generalized Long Memory Process
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
10. Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates, Journal of Time Series Econometrics, De Gruyter (2020) (2020)

2017

11. Forecasting the Volatility of Nikkei 225 Futures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2017)
    See also Journal Article Forecasting the volatility of Nikkei 225 futures, Journal of Futures Markets, John Wiley & Sons, Ltd. (2017) View citations (1) (2017)
12. Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (11)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (9)
    See also Journal Article Realized stochastic volatility models with generalized Gegenbauer long memory, Econometrics and Statistics, Elsevier (2020) View citations (2) (2020)
13. Realized Stochastic Volatility with General Asymmetry and Long Memory
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (17)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (19)
    See also Journal Article Realized stochastic volatility with general asymmetry and long memory, Journal of Econometrics, Elsevier (2017) View citations (17) (2017)

2016

14. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
15. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (2)
16. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    See also Journal Article Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, JRFM, MDPI (2017) View citations (2) (2017)
17. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) View citations (13)

2015

18. The Impact of Jumps and Leverage in Forecasting Co-Volatility
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (5)
    See also Journal Article The impact of jumps and leverage in forecasting covolatility, Econometric Reviews, Taylor & Francis Journals (2017) View citations (15) (2017)

2014

19. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (5)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
    See also Journal Article Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Journal of Econometrics, Elsevier (2015) View citations (23) (2015)
20. Matrix Exponential Stochastic Volatility with Cross Leverage
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (13)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (7)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) View citations (2)
    See also Journal Article Matrix exponential stochastic volatility with cross leverage, Computational Statistics & Data Analysis, Elsevier (2016) View citations (17) (2016)

2013

21. A Fractionally Integrated Wishart Stochastic Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
    See also Journal Article A fractionally integrated Wishart stochastic volatility model, Econometric Reviews, Taylor & Francis Journals (2017) (2017)
22. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012)
    See also Journal Article Forecasting Value-at-Risk using block structure multivariate stochastic volatility models, International Review of Economics & Finance, Elsevier (2015) View citations (9) (2015)
23. Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (2)
    See also Journal Article Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)

2011

24. Asymmetry and Long Memory in Volatility Modelling
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
    See also Journal Article Asymmetry and Long Memory in Volatility Modeling, Journal of Financial Econometrics, Oxford University Press (2012) View citations (57) (2012)
25. Dynamic Conditional Correlations for Asymmetric Processes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
26. Modelling and Forecasting Noisy Realized Volatility
    KIER Working Papers, Kyoto University, Institute of Economic Research
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
    See also Journal Article Modelling and forecasting noisy realized volatility, Computational Statistics & Data Analysis, Elsevier (2012) View citations (25) (2012)

2010

27. Alternative Asymmetric Stochastic Volatility Models
    KIER Working Papers, Kyoto University, Institute of Economic Research
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (10)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
    See also Journal Article Alternative Asymmetric Stochastic Volatility Models, Econometric Reviews, Taylor & Francis Journals (2011) View citations (34) (2011)
28. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (33)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (40)

2009

29. Asymmetry and Leverage in Realized Volatility
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008)

2007

30. Multivariate stochastic volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (15)
    Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2006) View citations (247)
31. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2005

32. Asymmetric Multivariate Stochastic Volatility
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (11)
    See also Journal Article Asymmetric Multivariate Stochastic Volatility, Econometric Reviews, Taylor & Francis Journals (2006) View citations (65) (2006)

Journal Articles

2023

1. Bayesian non‐linear quantile effects on modelling realized kernels
   International Journal of Finance & Economics, 2023, 28, (1), 981-995
2. Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
   Econometrics, 2023, 11, (3), 1-14
3. Estimation of high-dimensional vector autoregression via sparse precision matrix
   The Econometrics Journal, 2023, 26, (2), 307-326 View citations (1)
   See also Working Paper Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix, Discussion Papers in Economics and Business (2021) (2021)
4. Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application
   Econometrics and Statistics, 2023, 25, (C), 23-38 View citations (1)
5. High‐dimensional sparse multivariate stochastic volatility models
   Journal of Time Series Analysis, 2023, 44, (1), 4-22
   See also Working Paper High-Dimensional Sparse Multivariate Stochastic Volatility Models, Papers (2022) (2022)
6. Realized BEKK-CAW Models
   Journal of Time Series Econometrics, 2023, 15, (1), 49-77

2022

7. Bayesian Analysis of Realized Matrix-Exponential GARCH Models
   Computational Economics, 2022, 59, (1), 103-123
   See also Working Paper Bayesian Analysis of Realized Matrix-Exponential GARCH Models, Tinbergen Institute Discussion Papers (2018) (2018)
8. Multivariate Hyper-Rotated GARCH-BEKK
   Journal of Time Series Econometrics, 2022, 14, (2), 175-198 View citations (1)
9. Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
   Journal of Econometrics, 2022, 227, (1), 285-304 View citations (2)

2021

10. Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
    Econometrics, 2021, 9, (2), 1-21
11. On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations
    Computational Economics, 2021, 58, (2), 413-433 View citations (1)
12. Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
    Journal of Time Series Analysis, 2021, 42, (3), 271-294 View citations (1)

2020

13. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
    Journal of Time Series Econometrics, 2020, 12, (1), 18
    See also Working Paper Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates, Documentos de Trabajo del ICAE (2018) (2018)
14. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
    International Journal of Forecasting, 2020, 36, (3), 933-948 View citations (80)
    See also Working Paper Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks, Working Papers (2019) View citations (3) (2019)
15. Realized stochastic volatility models with generalized Gegenbauer long memory
    Econometrics and Statistics, 2020, 16, (C), 42-54 View citations (2)
    See also Working Paper Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory, Documentos de Trabajo del ICAE (2017) (2017)

2019

16. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Energies, 2019, 12, (17), 1-17 View citations (35)
    See also Working Paper The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Econometric Institute Research Papers (2019) View citations (34) (2019)

2017

17. A fractionally integrated Wishart stochastic volatility model
    Econometric Reviews, 2017, 36, (1-3), 42-59
    See also Working Paper A Fractionally Integrated Wishart Stochastic Volatility Model, Tinbergen Institute Discussion Papers (2013) View citations (1) (2013)
18. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    JRFM, 2017, 10, (4), 1-16 View citations (2)
    See also Working Paper Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models, Econometric Institute Research Papers (2016) (2016)
19. Forecasting the volatility of Nikkei 225 futures
    Journal of Futures Markets, 2017, 37, (11), 1141-1152 View citations (1)
    See also Working Paper Forecasting the Volatility of Nikkei 225 Futures, Econometric Institute Research Papers (2017) View citations (1) (2017)
20. Realized stochastic volatility with general asymmetry and long memory
    Journal of Econometrics, 2017, 199, (2), 202-212 View citations (17)
    See also Working Paper Realized Stochastic Volatility with General Asymmetry and Long Memory, Econometric Institute Research Papers (2017) View citations (17) (2017)
21. Stochastic Multivariate Mixture Covariance Model
    Journal of Forecasting, 2017, 36, (2), 139-155 View citations (1)
22. The impact of jumps and leverage in forecasting covolatility
    Econometric Reviews, 2017, 36, (6-9), 638-650 View citations (15)
    See also Working Paper The Impact of Jumps and Leverage in Forecasting Co-Volatility, Econometric Institute Research Papers (2015) (2015)

2016

23. Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
    Econometrics, 2016, 4, (3), 1-21 View citations (12)
24. Matrix exponential stochastic volatility with cross leverage
    Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 View citations (17)
    See also Working Paper Matrix Exponential Stochastic Volatility with Cross Leverage, CIRJE F-Series (2014) View citations (13) (2014)

2015

25. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 View citations (9)
    See also Working Paper Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models, Tinbergen Institute Discussion Papers (2013) View citations (2) (2013)
26. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Journal of Econometrics, 2015, 189, (2), 251-262 View citations (23)
    See also Working Paper Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, Tinbergen Institute Discussion Papers (2014) View citations (6) (2014)
27. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
    Journal of Econometrics, 2015, 187, (2), 436-446 View citations (10)
    See also Working Paper Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing, Documentos de Trabajo del ICAE (2013) (2013)
28. Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
    Journal of Time Series Econometrics, 2015, 7, (1), 69-94 View citations (9)

2013

29. Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
    The North American Journal of Economics and Finance, 2013, 25, (C), 202-213 View citations (14)
30. Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
    Journal of Forecasting, 2013, 32, (5), 469-480 View citations (14)
31. Stress testing correlation matrices for risk management
    The North American Journal of Economics and Finance, 2013, 26, (C), 310-322 View citations (11)

2012

32. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 View citations (57)
    See also Working Paper Asymmetry and Long Memory in Volatility Modelling, Documentos de Trabajo del ICAE (2011) (2011)
33. Forecasting volatility using range data: analysis for emerging equity markets in Latin America
    Applied Financial Economics, 2012, 22, (6), 461-470 View citations (2)
34. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 View citations (25)
    See also Working Paper Modelling and Forecasting Noisy Realized Volatility, KIER Working Papers (2011) (2011)

2011

35. Alternative Asymmetric Stochastic Volatility Models
    Econometric Reviews, 2011, 30, (5), 548-564 View citations (34)
    See also Working Paper Alternative Asymmetric Stochastic Volatility Models, KIER Working Papers (2010) (2010)

2010

36. General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets
    Applied Financial Economics, 2010, 20, (13), 1041-1049 View citations (3)

2009

37. Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2579-2596 View citations (18)
38. Multivariate stochastic volatility, leverage and news impact surfaces
    Econometrics Journal, 2009, 12, (2), 292-309 View citations (59)
39. The structure of dynamic correlations in multivariate stochastic volatility models
    Journal of Econometrics, 2009, 150, (2), 182-192 View citations (64)

2008

40. A Portfolio Index GARCH model
    International Journal of Forecasting, 2008, 24, (3), 449-461 View citations (8)
41. Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
    Journal of Empirical Finance, 2008, 15, (2), 332-341 View citations (35)
42. Portfolio single index (PSI) multivariate conditional and stochastic volatility models
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 209-214
43. The relationship between stock return volatility and trading volume: the case of the Philippines
    Applied Financial Economics, 2008, 18, (16), 1333-1341 View citations (5)

2007

44. Non-trading day effects in asymmetric conditional and stochastic volatility models
    Econometrics Journal, 2007, 10, (1), 113-123 View citations (2)

2006

45. Asymmetric Multivariate Stochastic Volatility
    Econometric Reviews, 2006, 25, (2-3), 453-473 View citations (65)
    See also Working Paper Asymmetric Multivariate Stochastic Volatility, DEA Working Papers (2005) View citations (11) (2005)
46. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 View citations (230)

2005

47. Comparison of MCMC Methods for Estimating Stochastic Volatility Models
    Computational Economics, 2005, 25, (3), 281-301 View citations (10)
48. Dynamic Asymmetric Leverage in Stochastic Volatility Models
    Econometric Reviews, 2005, 24, (3), 317-332 View citations (49)

1999

49. Time series evidence on a new Keynesian theory of the output-inflation trade-off
    Applied Economics Letters, 1999, 6, (9), 539-541 View citations (2)