Details about Manabu Asai
Access statistics for papers by Manabu Asai.
Last updated 2013-04-28. Update your information in the RePEc Author Service.
Short-id: pas73
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Working Papers
2013
- A Fractionally Integrated Wishart Stochastic Volatility Model
Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales 
Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013)
- Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
KIER Working Papers, Kyoto University, Institute of Economic Research 
Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2012)
2012
- Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute 
Also in Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2012)  KIER Working Papers, Kyoto University, Institute of Economic Research (2012)  Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012)
2011
- Asymmetry and Long Memory in Volatility Modelling
Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales 
Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)  Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2010) View citations (4) Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
- Dynamic Conditional Correlations for Asymmetric Processes
Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales 
Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)  CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)  Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2010)  KIER Working Papers, Kyoto University, Institute of Economic Research (2010)  Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
- Matrix Exponential Stochastic Volatility with Cross Leverage
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
- Modelling and Forecasting Noisy Realized Volatility
KIER Working Papers, Kyoto University, Institute of Economic Research 
Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)  Documentos del Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (2011)  CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1) Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2011) 
See also Journal Article in Computational Statistics & Data Analysis (2012)
2010
- Alternative Asymmetric Stochastic Volatility Models
KIER Working Papers, Kyoto University, Institute of Economic Research View citations (1)
Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2) Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)  CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)  Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2010) 
See also Journal Article in Econometric Reviews (2011)
- Block Structure Multivariate Stochastic Volatility Models
Working Papers in Economics, University of Canterbury, Department of Economics and Finance 
Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (4) Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2009) View citations (3)
2009
- Asymmetry and Leverage in Realized Volatility
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo 
Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)  Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008) View citations (1)
2007
- Multivariate stochastic volatility
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (38)
Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2006) View citations (38)
- Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )
CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
2005
- Asymmetric Multivariate Stochastic Volatility
DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (7)
See also Journal Article in Econometric Reviews (2006)
Journal Articles
2012
- Forecasting volatility using range data: analysis for emerging equity markets in Latin America
Applied Financial Economics, 2012, 22, (6), 461-470
- Modelling and forecasting noisy realized volatility
Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 View citations (2)
See also Working Paper (2011)
2011
- Alternative Asymmetric Stochastic Volatility Models
Econometric Reviews, 2011, 30, (5), 548-564 
See also Working Paper (2010)
2010
- General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets
Applied Financial Economics, 2010, 20, (13), 1041-1049
2009
- Multivariate stochastic volatility, leverage and news impact surfaces
Econometrics Journal, 2009, 12, (2), 292-309 View citations (8)
- The structure of dynamic correlations in multivariate stochastic volatility models
Journal of Econometrics, 2009, 150, (2), 182-192 View citations (12)
2008
- A Portfolio Index GARCH model
International Journal of Forecasting, 2008, 24, (3), 449-461 View citations (1)
- Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
Journal of Empirical Finance, 2008, 15, (2), 332-341 View citations (10)
- The relationship between stock return volatility and trading volume: the case of the Philippines
Applied Financial Economics, 2008, 18, (16), 1333-1341 View citations (1)
2007
- Non-trading day effects in asymmetric conditional and stochastic volatility models
Econometrics Journal, 2007, 10, (1), 113-123 View citations (2)
2006
- Asymmetric Multivariate Stochastic Volatility
Econometric Reviews, 2006, 25, (2-3), 453-473 View citations (4)
See also Working Paper (2005)
- Multivariate Stochastic Volatility: A Review
Econometric Reviews, 2006, 25, (2-3), 145-175 View citations (58)
2005
- Comparison of MCMC Methods for Estimating Stochastic Volatility Models
Computational Economics, 2005, 25, (3), 281-301 View citations (1)
- Dynamic Asymmetric Leverage in Stochastic Volatility Models
Econometric Reviews, 2005, 24, (3), 317-332 View citations (12)
1999
- Time series evidence on a new Keynesian theory of the output-inflation trade-off
Applied Economics Letters, 1999, 6, (9), 539-541 View citations (1)
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