Access Statistics for Manabu Asai

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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 0 30 0 0 14 115
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 3 14 128
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 17 0 1 13 100
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 7 37
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 2 2 11 61
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 1 3 16 73
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 1 2 9 88
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 0 7 189
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 2 2 18 101
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 1 1 6 75
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 1 33 180
Asymmetric Multivariate Stochastic Volatility 0 0 0 263 0 0 8 629
Asymmetry and Leverage in Realized Volatility 0 0 0 39 1 2 10 128
Asymmetry and Leverage in Realized Volatility 0 0 0 20 1 1 15 101
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 0 0 13 119
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 1 1 17 149
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 1 11 143
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 2 2 15 151
Asymmetry and leverage in realized volatility 0 0 0 71 0 0 7 132
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 12 47
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 21 0 1 13 40
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 2 3 8 61
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 2 12 55
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 0 0 19 93
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 0 0 11 65
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 0 18 81
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 2 2 10 80
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 1 1 10 53
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 1 25 130
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 12 122
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 1 1 10 129
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 0 14 48
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 2 18 65
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 1 2 14 91
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 7 183
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 6 76
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 2 2 10 265
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 1 1 9 109
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 1 1 16 97
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 2 2 12 61
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 4 5 8 77
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 3 4 16 56
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 2 60 0 0 20 118
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 1 1 14 22
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 3 4 24 122
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 1 1 18 124
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 1 2 36 155
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 1 2 22 156
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 1 9 111
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 1 12 111
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 19 101
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 2 5 19 98
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 3 4 30 173
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 0 0 6 93
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 1 20 84
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 0 11 103
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 0 1 12 18
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 1 1 19 99
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 1 3 134
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 0 1 12 164
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 1 9 67
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 4 57
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 1 9 74
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 7 81
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 2 3 11 144
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 1 2 20 149
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 3 14 167
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 1 1 11 159
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 1 2 14 139
Multivariate Stochastic Volatility 0 0 0 36 0 0 21 210
Multivariate stochastic volatility 0 0 2 265 1 4 25 588
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 0 1 69 2 2 24 225
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 4 6 15 101
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 1 13 63
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 1 1 14 75
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 0 0 14 64
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 2 3 12 57
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 11 50
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 1 23 1 3 14 83
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 3 5 20 68
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 0 0 10 66
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 0 0 11 85
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 0 1 19 91
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 1 9 58
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 1 2 18 102
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 0 1 12 38
Total Working Papers 0 0 7 3,285 66 121 1,201 9,830

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 52 0 0 28 154
A fractionally integrated Wishart stochastic volatility model 0 0 0 3 0 0 14 51
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 0 1 13 146
Asymmetric Multivariate Stochastic Volatility 0 0 0 52 1 1 19 183
Asymmetry and Long Memory in Volatility Modeling 0 0 0 29 1 2 8 127
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 0 3 0 0 10 30
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 0 0 11 306
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 3 0 0 6 18
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 0 0 9 49
Bayesian non‐linear quantile effects on modelling realized kernels 0 1 1 1 0 1 3 3
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 1 2 11 47
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 1 249 0 1 13 469
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 0 82 0 1 25 299
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 1 1 18 46
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 74 74 85 89
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 1 5 0 1 16 25
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 0 10 0 4 27 54
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 1 1 19 83
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 1 1 23 0 1 9 149
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 1 24 66
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 1 1 24 0 3 29 108
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 1 2 10 90
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 1 43 0 1 21 201
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 0 1 11 110
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 0 0 9 75
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 12 108
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 1 11 12
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 0 1 12 110
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 11 0 0 9 69
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 1 12 56
Maximum likelihood estimation for singular Wishart distributions 0 0 0 0 1 1 3 3
Modelling and forecasting noisy realized volatility 0 0 0 37 0 0 6 176
Multivariate Hyper-Rotated GARCH-BEKK 0 0 2 9 0 0 4 22
Multivariate Stochastic Volatility: A Review 0 0 1 132 0 2 17 364
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 2 2 21 256
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 1 2 13 336
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 1 0 1 6 19
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 0 11 37
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 0 0 10 30
Realized BEKK-CAW Models 0 0 0 1 1 3 17 22
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 0 53 77
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 1 1 24 47
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 0 1 18 107
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 1 8 22
Stress testing correlation matrices for risk management 1 1 3 54 1 5 22 211
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 0 1 15 50
The impact of jumps and leverage in forecasting covolatility 0 0 0 5 0 1 9 47
The relationship between stock return volatility and trading volume: the case of the Philippines 1 1 1 90 1 2 12 287
The structure of dynamic correlations in multivariate stochastic volatility models 0 2 4 148 3 5 18 442
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 1 1 6 132
Total Journal Articles 2 7 17 1,450 92 131 797 6,020

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Multivariate Stochastic Volatility 0 0 0 0 0 0 6 6
Total Chapters 0 0 0 0 0 0 6 6

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Statistics updated 2026-09-10