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 1 101
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 1 3 4 115
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 17 0 1 2 87
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 0 30
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 1 1 1 51
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 0 0 1 57
Alternative Asymmetric Stochastic Volatility Models 0 0 3 27 1 2 6 84
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 0 1 182
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 0 0 1 79
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 1 1 147
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 0 0 69
Asymmetric Multivariate Stochastic Volatility 0 1 1 263 1 3 6 622
Asymmetry and Leverage in Realized Volatility 0 0 1 20 0 0 2 86
Asymmetry and Leverage in Realized Volatility 0 0 0 39 0 1 2 118
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 1 3 136
Asymmetry and Long Memory in Volatility Modelling 0 0 1 29 0 2 3 132
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 0 1 2 106
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 0 1 132
Asymmetry and leverage in realized volatility 0 0 0 71 0 0 0 125
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 1 35
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 0 0 53
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 20 0 0 2 27
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 0 0 1 74
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 0 3 43
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 0 0 1 54
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 0 0 0 70
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 1 1 63
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 1 1 1 44
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 0 2 119
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 0 0 105
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 0 110
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 3 4 6 37
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 2 47
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 0 77
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 0 1 1 81
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 0 0 255
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 0 0 0 100
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 0 176
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 0 70
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 2 2 3 51
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 2 5 69
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 0 1 40
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 3 58 1 1 7 99
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 1 1 3 9
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 0 1 2 98
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 0 0 1 106
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 0 0 0 119
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 1 2 99
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 1 1 1 103
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 0 1 134
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 0 82
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 1 1 79
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 0 5 9 143
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 1 4 64
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 0 0 3 87
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 1 4 92
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 0 0 0 6
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 0 0 1 80
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 0 0 131
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 0 0 1 152
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 0 0 65
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 2 53
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 1 4 74
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 0 1 58
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 2 3 133
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 0 2 148
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 1 3 153
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 0 3 125
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 1 1 2 130
Multivariate Stochastic Volatility 0 0 1 36 1 1 4 190
Multivariate stochastic volatility 0 0 0 263 0 0 3 563
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 3 4 68 0 7 10 201
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 1 2 3 62
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 0 2 50
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 0 0 86
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 0 1 4 50
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 0 1 1 45
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 1 39
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 3 93 0 0 4 48
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 1 1 2 70
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 14 1 2 5 57
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 0 0 1 72
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 1 2 2 75
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 0 1 1 84
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 1 2 49
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 0 0 0 26
Total Working Papers 0 4 20 3,278 19 64 172 8,648

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 1 126
A fractionally integrated Wishart stochastic volatility model 0 1 1 3 1 3 6 38
Alternative Asymmetric Stochastic Volatility Models 0 1 1 27 0 3 5 133
Asymmetric Multivariate Stochastic Volatility 0 1 2 52 0 1 4 164
Asymmetry and Long Memory in Volatility Modeling 0 0 1 29 0 1 5 119
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 1 3 0 0 1 20
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 1 1 2 296
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 1 3 0 0 1 12
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 0 1 1 40
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 0 0
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 2 4 8 38
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 0 0 0 456
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 82 1 2 4 275
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 0 0 0 28
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 1 2 0 0 2 4
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 0 0 2 9
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 0 0 8 27
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 0 0 1 64
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 1 22 0 2 4 140
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 0 0 42
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 2 23 0 1 6 79
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 0 0 0 80
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 1 42 0 1 3 180
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 0 0 0 99
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 0 0 2 66
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 1 4 96
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 0 0 1
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 1 3 3 99
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 1 1 11 0 2 2 60
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 0 2 44
Modelling and forecasting noisy realized volatility 0 0 1 37 0 1 2 170
Multivariate Hyper-Rotated GARCH-BEKK 1 1 2 8 1 1 3 19
Multivariate Stochastic Volatility: A Review 0 0 2 131 1 2 6 348
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 0 0 4 235
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 1 1 3 324
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 1 1 1 0 1 1 13
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 1 1 1 27
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 0 1 1 20
Realized BEKK-CAW Models 0 0 0 1 0 1 1 5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 1 3 24
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 0 2 2 23
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 0 1 3 89
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 14
Stress testing correlation matrices for risk management 0 1 3 51 0 1 6 189
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 1 1 1 36
The impact of jumps and leverage in forecasting covolatility 0 0 1 5 0 1 2 38
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 89 0 0 1 275
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 1 144 0 1 3 424
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 0 1 126
Total Journal Articles 1 7 27 1,434 11 43 121 5,234

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Statistics updated 2025-10-06