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 1 3 10 61
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 15 0 1 9 63
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 30 0 2 9 86
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 1 39 39 0 4 23 23
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 1 14 14 0 2 7 7
Alternative Asymmetric Stochastic Volatility Models 0 0 1 62 0 4 7 128
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 0 2 5 50
Alternative Asymmetric Stochastic Volatility Models 0 0 1 46 0 1 6 148
Alternative Asymmetric Stochastic Volatility Models 0 0 0 5 0 0 2 48
Alternative Asymmetric Stochastic Volatility Models 0 1 1 7 1 2 9 42
Asymmetric Multivariate Stochastic Volatility 0 0 1 260 0 2 5 579
Asymmetry and Leverage in Realized Volatility 0 0 0 38 0 3 6 88
Asymmetry and Leverage in Realized Volatility 0 0 0 15 1 3 4 58
Asymmetry and Long Memory in Volatility Modelling 0 0 0 75 1 4 10 96
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 0 2 7 105
Asymmetry and Long Memory in Volatility Modelling 0 0 0 18 0 1 8 96
Asymmetry and Long Memory in Volatility Modelling 0 0 1 25 0 2 10 72
Asymmetry and leverage in realized volatility 0 0 0 69 1 3 7 96
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 43 43 0 3 20 20
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 13 13 0 3 7 7
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 1 18 18 0 2 6 6
Block Structure Multivariate Stochastic Volatility Models 0 0 0 18 0 0 4 77
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 2 8 79
Block Structure Multivariate Stochastic Volatility Models 0 0 1 29 1 2 7 76
Dynamic Conditional Correlations for Asymmetric Processes 0 0 3 14 0 1 7 42
Dynamic Conditional Correlations for Asymmetric Processes 0 1 3 81 1 5 14 209
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 5 0 1 5 48
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 18 0 2 5 54
Dynamic Conditional Correlations for Asymmetric Processes 1 1 1 14 1 4 8 63
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 3 6 151
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 60 60 0 2 32 32
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 34 34 0 3 18 18
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 25 25 0 2 16 16
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 2 3 16 1 6 14 42
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 48 2 5 15 68
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 33 1 4 9 68
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 2 7 63
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 2 6 65
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 39 0 1 7 98
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 1 1 45 0 3 5 72
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 37 0 1 5 54
Forecasting the Volatility of Nikkei 225 Futures 2 6 6 6 6 9 9 9
Forecasting the volatility of Nikkei 225 futures 2 21 22 22 6 17 17 17
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 8 0 3 10 44
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 1 26 0 3 11 97
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 1 35 0 1 11 90
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 3 5 37
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 2 10 41
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 3 3 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 2 3 5 25
Modelling and Forecasting Noisy Realized Volatility 0 0 0 62 3 3 5 109
Modelling and Forecasting Noisy Realized Volatility 0 0 0 21 0 2 7 115
Modelling and Forecasting Noisy Realized Volatility 0 0 0 66 0 1 10 106
Modelling and Forecasting Noisy Realized Volatility 0 1 1 62 0 4 8 130
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 2 6 99
Multivariate Stochastic Volatility 1 1 2 26 1 4 14 109
Multivariate stochastic volatility 0 0 4 259 1 5 22 512
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. ) 0 1 3 48 0 2 10 133
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 15 15 15 15 3 5 5 5
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 47 47 2 4 17 17
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 20 20 0 3 7 7
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 28 2 5 12 36
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 13 2 2 6 21
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 1 4 25 1 5 14 44
Total Working Papers 21 55 394 2,461 46 191 599 5,135


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 0 1 7 104
Alternative Asymmetric Stochastic Volatility Models 0 0 0 19 0 1 10 102
Asymmetric Multivariate Stochastic Volatility 0 0 2 43 0 3 9 121
Asymmetry and Long Memory in Volatility Modeling 0 0 0 21 0 2 11 67
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 2 86 0 2 10 268
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 3 0 2 7 15
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 1 1 1 240 2 4 10 417
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 0 65 0 0 5 225
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 1 5 0 2 11 29
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 1 1 2 11 3 8 30 67
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 11 0 1 5 74
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 1 5 24 1 4 32 124
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 1 20 1 4 17 79
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 2 2 3 3 2 4 16 16
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 1 8 62
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 4 13 0 2 16 59
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 2 4 0 2 11 35
Matrix exponential stochastic volatility with cross leverage 0 0 0 0 1 3 12 12
Modelling and forecasting noisy realized volatility 0 0 1 32 0 1 13 128
Multivariate Stochastic Volatility: A Review 0 0 0 92 1 2 10 232
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 43 0 1 10 194
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 51 0 2 16 284
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 1 2 0 1 5 15
Stress testing correlation matrices for risk management 0 0 2 15 1 9 17 65
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 1 86 0 3 12 251
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 2 118 0 0 10 342
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 2 25 0 1 7 112
Total Journal Articles 4 5 32 1,082 12 66 327 3,499


Statistics updated 2017-05-02