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Details about Manabu Asai

Homepage:http://home.soka.ac.jp/~m-asai/
Workplace:Faculty of Economics, Soka University, (more information at EDIRC)

Access statistics for papers by Manabu Asai.

Last updated 2016-09-28. Update your information in the RePEc Author Service.

Short-id: pas73


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Working Papers

2016

  1. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
  2. Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (1)
  3. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
  4. Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads View citations (1)

2015

  1. The Impact of Jumps and Leverage in Forecasting Co-Volatility
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads

2014

  1. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (7)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2015)
  2. Matrix Exponential Stochastic Volatility with Cross Leverage
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) Downloads View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2016)

2013

  1. A Fractionally Integrated Wishart Stochastic Volatility Model
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
  2. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2012) Downloads

    See also Journal Article in International Review of Economics & Finance (2015)
  3. Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (6)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2015)

2011

  1. Asymmetry and Long Memory in Volatility Modelling
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2012)
  2. Dynamic Conditional Correlations for Asymmetric Processes
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
  3. Modelling and Forecasting Noisy Realized Volatility
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2010

  1. Alternative Asymmetric Stochastic Volatility Models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (8)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article in Econometric Reviews (2011)
  2. Block Structure Multivariate Stochastic Volatility Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (25)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads View citations (20)

2009

  1. Asymmetry and Leverage in Realized Volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads View citations (1)

2007

  1. Multivariate stochastic volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (11)
    Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (50)
  2. 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 Downloads

2005

  1. Asymmetric Multivariate Stochastic Volatility
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (7)
    See also Journal Article in Econometric Reviews (2006)

Journal Articles

2016

  1. Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
    Econometrics, 2016, 4, (3), 37 Downloads
  2. Matrix exponential stochastic volatility with cross leverage
    Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 Downloads View citations (3)
    See also Working Paper (2014)

2015

  1. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
    International Review of Economics & Finance, 2015, 40, (C), 40-50 Downloads View citations (2)
    See also Working Paper (2013)
  2. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    Journal of Econometrics, 2015, 189, (2), 251-262 Downloads View citations (6)
    See also Working Paper (2014)
  3. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
    Journal of Econometrics, 2015, 187, (2), 436-446 Downloads View citations (7)
    See also Working Paper (2013)
  4. Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
    Journal of Time Series Econometrics, 2015, 7, (1), 26 Downloads View citations (1)

2013

  1. Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
    The North American Journal of Economics and Finance, 2013, 25, (C), 202-213 Downloads View citations (7)
  2. Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
    Journal of Forecasting, 2013, 32, (5), 469-480 View citations (5)
  3. Stress testing correlation matrices for risk management
    The North American Journal of Economics and Finance, 2013, 26, (C), 310-322 Downloads View citations (5)

2012

  1. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 Downloads View citations (20)
    See also Working Paper (2011)
  2. Forecasting volatility using range data: analysis for emerging equity markets in Latin America
    Applied Financial Economics, 2012, 22, (6), 461-470 Downloads View citations (2)
  3. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 Downloads View citations (14)
    See also Working Paper (2011)

2011

  1. Alternative Asymmetric Stochastic Volatility Models
    Econometric Reviews, 2011, 30, (5), 548-564 Downloads View citations (11)
    See also Working Paper (2010)

2010

  1. General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets
    Applied Financial Economics, 2010, 20, (13), 1041-1049 Downloads View citations (2)

2009

  1. Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2579-2596 Downloads View citations (11)
  2. Multivariate stochastic volatility, leverage and news impact surfaces
    Econometrics Journal, 2009, 12, (2), 292-309 Downloads View citations (30)
  3. The structure of dynamic correlations in multivariate stochastic volatility models
    Journal of Econometrics, 2009, 150, (2), 182-192 Downloads View citations (30)

2008

  1. A Portfolio Index GARCH model
    International Journal of Forecasting, 2008, 24, (3), 449-461 Downloads View citations (5)
  2. Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
    Journal of Empirical Finance, 2008, 15, (2), 332-341 Downloads View citations (20)
  3. Portfolio single index (PSI) multivariate conditional and stochastic volatility models
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 209-214 Downloads
  4. The relationship between stock return volatility and trading volume: the case of the Philippines
    Applied Financial Economics, 2008, 18, (16), 1333-1341 Downloads View citations (3)

2007

  1. Non-trading day effects in asymmetric conditional and stochastic volatility models
    Econometrics Journal, 2007, 10, (1), 113-123 Downloads View citations (2)

2006

  1. Asymmetric Multivariate Stochastic Volatility
    Econometric Reviews, 2006, 25, (2-3), 453-473 Downloads View citations (43)
    See also Working Paper (2005)
  2. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 Downloads View citations (149)

2005

  1. Comparison of MCMC Methods for Estimating Stochastic Volatility Models
    Computational Economics, 2005, 25, (3), 281-301 Downloads View citations (8)
  2. Dynamic Asymmetric Leverage in Stochastic Volatility Models
    Econometric Reviews, 2005, 24, (3), 317-332 Downloads View citations (34)

1999

  1. Time series evidence on a new Keynesian theory of the output-inflation trade-off
    Applied Economics Letters, 1999, 6, (9), 539-541 Downloads View citations (1)
 
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