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Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter.
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- Econometrics (2225-1146), 2023, v. 11, n. 3, p. 18, doi. 10.3390/econometrics11030018
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Estimation of high-dimensional vector autoregression via sparse precision matrix.
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- Econometrics Journal, 2023, v. 26, n. 2, p. 307, doi. 10.1093/ectj/utad003
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Bayesian non‐linear quantile effects on modelling realized kernels.
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- International Journal of Finance & Economics, 2023, v. 28, n. 1, p. 981, doi. 10.1002/ijfe.2459
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High‐dimensional sparse multivariate stochastic volatility models.
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- Journal of Time Series Analysis, 2023, v. 44, n. 1, p. 4, doi. 10.1111/jtsa.12647
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Realized BEKK-CAW Models.
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- Journal of Time Series Econometrics, 2023, v. 15, n. 1, p. 49, doi. 10.1515/jtse-2022-0009
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Multivariate Hyper-Rotated GARCH-BEKK.
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- Journal of Time Series Econometrics, 2022, v. 14, n. 2, p. 175, doi. 10.1515/jtse-2021-0006
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Bayesian Analysis of Realized Matrix-Exponential GARCH Models.
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- Computational Economics, 2022, v. 59, n. 1, p. 103, doi. 10.1007/s10614-020-10074-6
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On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations.
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- Computational Economics, 2021, v. 58, n. 2, p. 413, doi. 10.1007/s10614-020-10034-0
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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models.
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- Econometrics (2225-1146), 2021, v. 9, n. 2, p. 21, doi. 10.3390/econometrics9020021
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- Article
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models.
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- Journal of Time Series Analysis, 2021, v. 42, n. 3, p. 271, doi. 10.1111/jtsa.12566
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Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates.
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- Journal of Time Series Econometrics, 2020, v. 12, n. 1, p. 1, doi. 10.1515/jtse-2018-0024
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- Article
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates.
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- Journal of Time Series Econometrics, 2020, v. 12, n. 1, p. 1, doi. 10.1515/jtse-2018-0024
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- Article
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures.
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- Energies (19961073), 2019, v. 12, n. 17, p. 3379, doi. 10.3390/en12173379
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Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models.
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- Journal of Risk & Financial Management, 2017, v. 10, n. 4, p. 1, doi. 10.3390/jrfm10040023
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- Article
Forecasting the volatility of Nikkei 225 futures.
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- Journal of Futures Markets, 2017, v. 37, n. 11, p. 1141, doi. 10.1002/fut.21847
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Stochastic Multivariate Mixture Covariance Model.
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- Journal of Forecasting, 2017, v. 36, n. 2, p. 139, doi. 10.1002/for.2419
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Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited.
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- Econometrics (2225-1146), 2016, v. 4, n. 3, p. 37, doi. 10.3390/econometrics4030037
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BAYESIAN ANALYSIS OF GENERAL ASYMMETRIC MULTIVARIATE GARCH MODELS AND NEWS IMPACT CURVES.
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- Journal of the Japan Statistical Society, 2015, v. 45, n. 2, p. 129, doi. 10.14490/jjss.45.129
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Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes.
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- Journal of Time Series Econometrics, 2015, v. 7, n. 1, p. 69, doi. 10.1515/jtse-2013-0012
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- Article
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range.
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- Journal of Forecasting, 2013, v. 32, n. 5, p. 469, doi. 10.1002/for.2252
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STOCHASTIC COVARIANCE MODELS.
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- Journal of the Japan Statistical Society, 2013, v. 43, n. 2, p. 127, doi. 10.14490/jjss.43.127
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Asymmetry and Long Memory in Volatility Modeling.
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- Journal of Financial Econometrics, 2012, v. 10, n. 3, p. 495, doi. 10.1093/jjfinec/nbr015
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Multivariate stochastic volatility, leverage and news impact surfaces.
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- Econometrics Journal, 2009, v. 12, n. 2, p. 292, doi. 10.1111/j.1368-423X.2009.00284.x
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Non-trading day effects in asymmetric conditional and stochastic volatility models.
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- Econometrics Journal, 2007, v. 10, n. 1, p. 113, doi. 10.1111/j.1368-423X.2007.00201.x
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Comparison of MCMC Methods for Estimating Stochastic Volatility Models.
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- Computational Economics, 2005, v. 25, n. 3, p. 281, doi. 10.1007/s10614-005-2974-4
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Testing for Serial Correlation in the Presence of Stochastic Volatility.
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- Asia-Pacific Financial Markets, 2000, v. 7, n. 4, p. 321, doi. 10.1023/A:1010093608857
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- Article