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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 2008-08-29. Update your information in the RePEc Author Service.

Short-id: pas73


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Working Papers

2007

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

2005

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

Journal Articles

2008

  1. A distribution-free test for symmetry with an application to S&P index returns
    Applied Economics Letters, 2008, 15, (6), 461-464 Downloads
  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
  3. The relationship between stock return volatility and trading volume: the case of the Philippines
    Applied Financial Economics, 2008, 18, (16), 1333-1341 Downloads

2007

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

2005

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

1999

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