Access Statistics for Manabu Asai

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 30 2 3 9 60
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 15 1 2 12 63
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 2 30 2 2 10 86
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 1 2 14 14 2 4 7 7
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 2 38 38 3 9 22 22
Alternative Asymmetric Stochastic Volatility Models 0 0 0 5 0 0 3 48
Alternative Asymmetric Stochastic Volatility Models 0 0 1 46 1 2 9 148
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 2 2 6 50
Alternative Asymmetric Stochastic Volatility Models 0 1 1 62 3 4 8 127
Alternative Asymmetric Stochastic Volatility Models 0 0 0 6 0 2 8 40
Asymmetric Multivariate Stochastic Volatility 0 0 2 260 2 2 8 579
Asymmetry and Leverage in Realized Volatility 0 0 0 38 2 2 5 87
Asymmetry and Leverage in Realized Volatility 0 0 0 15 2 2 5 57
Asymmetry and Long Memory in Volatility Modelling 0 0 0 18 1 1 10 96
Asymmetry and Long Memory in Volatility Modelling 0 0 0 75 3 3 10 95
Asymmetry and Long Memory in Volatility Modelling 0 0 1 25 1 3 10 71
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 2 2 11 105
Asymmetry and leverage in realized volatility 0 0 0 69 2 3 10 95
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 1 17 17 1 2 5 5
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 2 43 43 3 9 20 20
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 13 13 3 5 7 7
Block Structure Multivariate Stochastic Volatility Models 0 0 1 29 1 1 8 75
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 8 78
Block Structure Multivariate Stochastic Volatility Models 0 0 0 18 0 0 4 77
Dynamic Conditional Correlations for Asymmetric Processes 0 0 2 80 2 2 11 206
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 2 2 5 150
Dynamic Conditional Correlations for Asymmetric Processes 0 1 3 14 1 2 7 42
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 5 1 2 8 48
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 18 2 3 5 54
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 13 3 4 8 62
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 34 34 3 6 18 18
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 1 60 60 2 8 32 32
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 25 25 2 5 16 16
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 2 48 3 3 17 66
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 1 14 3 5 12 39
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 1 33 2 2 9 66
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 44 2 3 5 71
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 2 3 7 63
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 1 39 1 1 10 98
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 7 64
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 37 0 1 6 53
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 8 3 3 13 44
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 1 1 35 1 4 12 90
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 2 26 3 4 12 97
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 2 2 3 57
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 2 3 7 36
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 21 1 2 11 40
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 1 1 4 23
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 1 2 7 98
Modelling and Forecasting Noisy Realized Volatility 0 0 0 21 2 2 11 115
Modelling and Forecasting Noisy Realized Volatility 0 0 0 62 0 0 4 106
Modelling and Forecasting Noisy Realized Volatility 1 1 1 62 4 4 9 130
Modelling and Forecasting Noisy Realized Volatility 0 0 0 66 1 1 11 106
Multivariate Stochastic Volatility 0 1 2 25 2 5 14 107
Multivariate stochastic volatility 0 1 4 259 4 10 26 511
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. ) 1 1 3 48 2 3 11 133
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 20 20 3 3 7 7
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 47 47 2 4 15 15
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 11 13 0 0 7 19
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 2 28 2 4 19 33
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 4 24 3 4 16 42
Total Working Papers 3 15 362 2,408 111 180 617 5,055


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Portfolio Index GARCH model 0 0 0 50 1 3 7 104
Alternative Asymmetric Stochastic Volatility Models 0 0 0 19 1 1 11 102
Asymmetric Multivariate Stochastic Volatility 0 0 2 43 2 2 8 120
Asymmetry and Long Memory in Volatility Modeling 0 0 0 21 2 3 12 67
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 3 86 2 4 13 268
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 3 2 2 7 15
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 239 1 1 7 414
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 0 65 0 0 6 225
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 1 3 5 2 4 15 29
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 2 10 5 8 36 64
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 11 1 2 5 74
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 1 4 23 1 4 32 121
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 1 20 2 6 15 77
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 1 1 1 5 13 13
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 1 3 8 62
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 2 5 13 2 6 22 59
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 2 4 1 1 12 34
Matrix exponential stochastic volatility with cross leverage 0 0 0 0 2 3 11 11
Modelling and forecasting noisy realized volatility 0 0 1 32 1 4 13 128
Multivariate Stochastic Volatility: A Review 0 0 0 92 0 1 8 230
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 1 43 1 2 21 194
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 51 2 3 20 284
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 1 2 1 1 5 15
Stress testing correlation matrices for risk management 0 1 3 15 6 9 20 62
The relationship between stock return volatility and trading volume: the case of the Philippines 0 1 1 86 3 5 12 251
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 2 118 0 1 13 342
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 2 25 1 1 7 112
Total Journal Articles 0 6 34 1,077 44 85 359 3,477


Statistics updated 2017-03-07