Multivariate stochastic volatility: a review M Asai, M McAleer, J Yu Econometric Reviews 25 (2-3), 145-175, 2006 | 450 | 2006 |
Multivariate stochastic volatility S Chib, Y Omori, M Asai Handbook of financial time series, 365-400, 2009 | 190 | 2009 |
The structure of dynamic correlations in multivariate stochastic volatility models M Asai, M McAleer Journal of Econometrics 150 (2), 182-192, 2009 | 147 | 2009 |
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks M Asai, R Gupta, M McAleer International Journal of Forecasting 36 (3), 933-948, 2020 | 120 | 2020 |
Dynamic asymmetric leverage in stochastic volatility models M Asai, M McAleer Econometric Reviews 24 (3), 317-332, 2005 | 82 | 2005 |
Asymmetry and long memory in volatility modeling M Asai, M McAleer, MC Medeiros Journal of Financial Econometrics 10 (3), 495-512, 2012 | 79 | 2012 |
Asymmetric multivariate stochastic volatility M Asai, M McAleer Econometric Reviews 25 (2-3), 453-473, 2006 | 75 | 2006 |
Alternative asymmetric stochastic volatility models M Asai, M McAleer Econometric Reviews 30 (5), 548-564, 2011 | 66 | 2011 |
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models M Asai Journal of Empirical Finance 15 (2), 332-341, 2008 | 65 | 2008 |
Modelling and forecasting noisy realized volatility M Asai, M McAleer, MC Medeiros Computational Statistics & Data Analysis 56 (1), 217-230, 2012 | 55 | 2012 |
Comparison of MCMC methods for estimating GARCH models M Asai Journal of the Japan Statistical Society 36 (2), 199-212, 2006 | 52 | 2006 |
Multivariate stochastic volatility, leverage and news impact surfaces M Asai, M McAleer The Econometrics Journal 12 (2), 292-309, 2009 | 44 | 2009 |
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance M Asai, M McAleer Journal of Econometrics 189 (2), 251-262, 2015 | 39 | 2015 |
Matrix exponential stochastic volatility with cross leverage T Ishihara, Y Omori, M Asai Computational Statistics & Data Analysis 100, 331-350, 2016 | 37 | 2016 |
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil M Asai, I Brugal The North American Journal of Economics and Finance 25, 202-213, 2013 | 36 | 2013 |
The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures M Asai, R Gupta, M McAleer Energies 12 (17), 3379, 2019 | 35 | 2019 |
Stochastic covariance models M Asai, MKP So Journal of the Japan Statistical Society 43 (2), 127-162, 2014 | 29 | 2014 |
The relationship between stock return volatility and trading volume: the case of the Philippines M Asai, A Unite Applied Financial Economics 18 (16), 1333-1341, 2008 | 28 | 2008 |
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions M Asai Mathematics and Computers in Simulation 79 (8), 2579-2596, 2009 | 27 | 2009 |
The Japanese stock market and the macroeconomy: An empirical investigation M Asai, T Shiba Financial Engineering and the Japanese Markets 2, 259-267, 1995 | 27 | 1995 |