117 citations · 191 across the 25 of their papers we have counts for
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q-fin.ST2016
Volatility Forecasts Using Nonlinear Leverage Effects
Kenichiro McAlinn, Asahi Ushio, Teruo Nakatsuma
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long…
stat.ME2016★ 117 cited
Dynamic Bayesian Predictive Synthesis in Time Series Forecasting
Kenichiro McAlinn, Mike West
We discuss model and forecast combination in time series forecasting. A foundational Bayesian perspective based on agent opinion analysis theory defines a new framework for density…