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Details about Manabu Asai
Access statistics for papers by Manabu Asai.
Last updated 2009-11-06. Update your information in the RePEc Author Service.
Short-id: pas73
Jump to Journal Articles
Working Papers
2009
- Alternative Asymmetric Stochastic Volatility Models
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
- Asymmetry and Leverage in Realized Volatility
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo 
Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2008)
- Dynamic Conditional Correlations for Asymmetric Processes
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
- Modelling and Forecasting Noisy Realized Volatility
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
2007
- Multivariate stochastic volatility
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
2005
- Asymmetric Multivariate Stochastic Volatility
DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations
Journal Articles
2009
- Multivariate stochastic volatility, leverage and news impact surfaces
Econometrics Journal, 2009, 12, (2), 292-309
- The structure of dynamic correlations in multivariate stochastic volatility models
Journal of Econometrics, 2009, 150, (2), 182-192 View citations
2008
- A Portfolio Index GARCH model
International Journal of Forecasting, 2008, 24, (3), 449-461
- A distribution-free test for symmetry with an application to S&P index returns
Applied Economics Letters, 2008, 15, (6), 461-464
- 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
- The relationship between stock return volatility and trading volume: the case of the Philippines
Applied Financial Economics, 2008, 18, (16), 1333-1341
2007
- Non-trading day effects in asymmetric conditional and stochastic volatility models
Econometrics Journal, 2007, 10, (1), 113-123
2005
- Comparison of MCMC Methods for Estimating Stochastic Volatility Models
Computational Economics, 2005, 25, (3), 281-301
1999
- Time Series Evidence on a New Keynesian Theory of the Output-Inflation Trade-Off
Applied Economics Letters, 1999, 6, (9), 539-41
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