Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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Publication:2116339

DOI10.1016/j.jeconom.2021.06.008OpenAlexW3181618081WikidataQ115571102 ScholiaQ115571102MaRDI QIDQ2116339

Michael McAleer, Manabu Asai, Chia-Lin Chang

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.06.008




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