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

Working Papers

2009

1. Alternative Asymmetric Stochastic Volatility Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
2. 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)
3. Dynamic Conditional Correlations for Asymmetric Processes
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
4. Modelling and Forecasting Noisy Realized Volatility
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2007

5. Multivariate stochastic volatility
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations

2005

6. Asymmetric Multivariate Stochastic Volatility
   DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations

Journal Articles

2009

1. Multivariate stochastic volatility, leverage and news impact surfaces
   Econometrics Journal, 2009, 12, (2), 292-309
2. The structure of dynamic correlations in multivariate stochastic volatility models
   Journal of Econometrics, 2009, 150, (2), 182-192 View citations

2008

3. A Portfolio Index GARCH model
   International Journal of Forecasting, 2008, 24, (3), 449-461
4. A distribution-free test for symmetry with an application to S&P index returns
   Applied Economics Letters, 2008, 15, (6), 461-464
5. 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
6. The relationship between stock return volatility and trading volume: the case of the Philippines
   Applied Financial Economics, 2008, 18, (16), 1333-1341

2007

7. Non-trading day effects in asymmetric conditional and stochastic volatility models
   Econometrics Journal, 2007, 10, (1), 113-123

2005

8. Comparison of MCMC Methods for Estimating Stochastic Volatility Models
   Computational Economics, 2005, 25, (3), 281-301

1999

9. Time Series Evidence on a New Keynesian Theory of the Output-Inflation Trade-Off
   Applied Economics Letters, 1999, 6, (9), 539-41