Dear Dr. Leonard,
Thank you very much for giving me an opportunity to show my respect to you and your works. Inspired by your idea on the matrix exponential covariance model, my co-author(s) and I wrote several papers applying it to multivariate volatility analysis.
1. “Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance” (with Michael McAleer), to appear in Journal of Econometrics.
2. “Matrix Exponential Stochastic Volatility with Cross Leverage ” (with Tsunehiro Ishihara and Yasuhiro Omori), to appear in Computational Statistics & Data Analysis.
3. “Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes” (with Mike K.P. So), Journal of Time Series Econometrics, 2015, 7(1), 69-94.
4. “Multivariate Stochastic Volatility” (with Siddhartha Chib and Yasuhiro Omori), in: T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Handbook of Financial Time Series, Springer-Verlag, New York, 2009, 365-40.
5. “Multivariate Stochastic Volatility: A Review”, (with Jun Yu and Michael McAleer), Econometric Reviews, 2006, 25(2-3), 145-175.
I pray for your increasing health and long life.
Kind regards,
Manabu Asai
Thank you so much for your message Professor Asai, I mention your magnificent contributions in my Wiley Interview http://www.statisticsviews.com/details/feature/6173131/The-Life-of-a-Bayesian-Boy-An-interview-with-Thomas-Hoskyns-Leonard.html and I also include a discussion of your work and your picture (hopefully with your permission!) in the sixth chapter of my Bayesian History http://www.thomashoskynsleonard.co.uk/personal_history_6.htmhttp://www.thomashoskynsleonard.co.uk/personal_history_6.htm
You might also like to glance at my blog http://thomashoskynsleonardblog.blogspot.co.uk/ I very much admire your work and wish you very success and God's peace in the future Best wishes Tom
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