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 0 98
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 16 0 0 0 84
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 0 0 111
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 0 29
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 0 0 1 49
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 1 1 60 0 2 2 51
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 0 1 69
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 0 0 146
Alternative Asymmetric Stochastic Volatility Models 0 0 1 7 0 0 1 77
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 1 3 5 76
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 0 2 181
Asymmetric Multivariate Stochastic Volatility 0 0 0 261 0 0 2 614
Asymmetry and Leverage in Realized Volatility 0 1 1 18 0 1 1 83
Asymmetry and Leverage in Realized Volatility 0 0 0 39 0 0 0 115
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 0 0 131
Asymmetry and Long Memory in Volatility Modelling 0 0 1 26 0 0 4 102
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 0 0 0 129
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 0 0 132
Asymmetry and leverage in realized volatility 0 0 0 71 0 0 1 125
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 19 0 0 1 23
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 0 34
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 0 0 53
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 1 19 0 2 3 52
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 1 1 37
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 0 0 1 71
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 1 1 60
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 0 0 2 69
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 1 1 1 40
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 0 108
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 1 1 1 105
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 0 2 115
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 0 1 29
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 1 44
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 0 1 254
Dynamic Conditional Correlations for Asymmetric Processes 0 0 1 18 1 1 2 99
Dynamic Conditional Correlations for Asymmetric Processes 0 0 1 20 0 0 1 79
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 0 76
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 0 175
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 0 67
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 0 0 63
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 0 0 0 45
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 0 0 39
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 11 53 1 4 23 78
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 0 0 5 96
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 1 1 1 119
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 1 1 1 104
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 1 81
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 0 0 133
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 0 0 100
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 1 35 0 0 1 97
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 0 0 77
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 2 2 6 129
Forecasting the Volatility of Nikkei 225 Futures 0 0 1 18 0 0 1 84
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 0 1 60
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 0 1 88
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 1 38 0 0 1 5
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 0 0 0 78
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 0 0 129
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 1 28 1 1 2 150
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 2 51
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 0 0 56
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 2 69
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 0 0 64
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 0 0 127
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 0 0 149
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 0 0 130
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 0 0 145
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 0 0 122
Multivariate Stochastic Volatility 0 0 0 35 0 0 1 183
Multivariate stochastic volatility 0 1 1 263 0 1 3 557
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. ) 2 2 3 62 2 4 9 183
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 0 0 47
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 0 1 86
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 22 0 0 5 56
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 0 37
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 1 1 2 42
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 0 0 0 45
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 90 0 0 0 43
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 0 0 0 67
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 13 0 0 1 50
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 0 0 0 69
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 1 1 34 0 1 1 71
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 1 1 1 83
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 0 0 46
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 0 0 0 25
Total Working Papers 2 6 28 3,241 14 30 111 8,350

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 1 52 0 1 2 124
A fractionally integrated Wishart stochastic volatility model 0 0 0 2 0 0 0 30
Alternative Asymmetric Stochastic Volatility Models 1 1 2 25 1 1 4 127
Asymmetric Multivariate Stochastic Volatility 0 0 0 47 0 0 0 155
Asymmetry and Long Memory in Volatility Modeling 0 0 0 27 0 0 1 111
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 0 2 0 1 2 19
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 5 94 0 0 7 294
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 1 0 0 4 9
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 1 1 5 0 1 3 38
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 1 2 6 0 1 3 29
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 1 1 1 456
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 2 78 0 1 3 266
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 0 0 0 0 0 0
Estimation of high-dimensional vector autoregression via sparse precision matrix 1 1 1 1 2 2 2 2
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 1 1 2 2 3 4 6 6
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 0 0 0 63
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 0 18 0 0 3 130
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 0 0 40
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 1 2 4 20 3 4 11 68
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 0 40 0 1 1 175
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 2 11 0 0 3 64
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 0 90
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 0 0 0
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 0 0 0 96
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 10 0 0 0 57
Matrix exponential stochastic volatility with cross leverage 0 0 0 7 0 0 1 41
Modelling and forecasting noisy realized volatility 0 0 0 35 0 0 0 163
Multivariate Hyper-Rotated GARCH-BEKK 0 0 2 5 0 0 5 9
Multivariate Stochastic Volatility: A Review 1 1 4 124 1 2 8 334
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 0 0 0 231
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 0 0 2 318
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 0 0 0 1 10
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 1 1 25
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 4 0 0 0 18
Realized BEKK-CAW Models 0 0 1 1 0 1 3 3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 0 5 19
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 0 0 1 20
Realized stochastic volatility with general asymmetry and long memory 0 0 0 13 0 1 3 78
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 13
Stress testing correlation matrices for risk management 0 0 3 48 0 0 7 178
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 0 0 0 35
The impact of jumps and leverage in forecasting covolatility 0 0 0 4 0 0 0 36
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 2 140 0 0 6 414
Time series evidence on a new Keynesian theory of the output-inflation trade-off 1 1 1 27 1 1 1 124
Total Journal Articles 6 9 35 1,247 12 24 100 4,546
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Statistics updated 2023-11-05