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

Working Papers

2013

1. 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)
2. 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

3. 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

4. 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)
5. 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)
6. Matrix Exponential Stochastic Volatility with Cross Leverage
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
7. 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

8. 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)
9. 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

10. 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

11. 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)
12. 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

13. 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

1. Forecasting volatility using range data: analysis for emerging equity markets in Latin America
   Applied Financial Economics, 2012, 22, (6), 461-470
2. Modelling and forecasting noisy realized volatility
   Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 View citations (2)
   See also Working Paper (2011)

2011

3. Alternative Asymmetric Stochastic Volatility Models
   Econometric Reviews, 2011, 30, (5), 548-564
   See also Working Paper (2010)

2010

4. 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

5. Multivariate stochastic volatility, leverage and news impact surfaces
   Econometrics Journal, 2009, 12, (2), 292-309 View citations (8)
6. The structure of dynamic correlations in multivariate stochastic volatility models
   Journal of Econometrics, 2009, 150, (2), 182-192 View citations (12)

2008

7. A Portfolio Index GARCH model
   International Journal of Forecasting, 2008, 24, (3), 449-461 View citations (1)
8. 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)
9. 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

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

2006

11. Asymmetric Multivariate Stochastic Volatility
    Econometric Reviews, 2006, 25, (2-3), 453-473 View citations (4)
    See also Working Paper (2005)
12. Multivariate Stochastic Volatility: A Review
    Econometric Reviews, 2006, 25, (2-3), 145-175 View citations (58)

2005

13. Comparison of MCMC Methods for Estimating Stochastic Volatility Models
    Computational Economics, 2005, 25, (3), 281-301 View citations (1)
14. Dynamic Asymmetric Leverage in Stochastic Volatility Models
    Econometric Reviews, 2005, 24, (3), 317-332 View citations (12)

1999

15. 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)