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 0 30 0 2 8 66
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 15 0 0 3 65
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 2 5 89
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 1 4 42 0 2 11 30
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 1 14 0 0 7 12
Alternative Asymmetric Stochastic Volatility Models 0 0 1 7 0 1 5 45
Alternative Asymmetric Stochastic Volatility Models 0 0 0 46 1 2 7 154
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 1 5 129
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 0 1 5 53
Alternative Asymmetric Stochastic Volatility Models 0 0 0 5 0 2 3 51
Asymmetric Multivariate Stochastic Volatility 0 0 0 260 1 1 3 580
Asymmetry and Leverage in Realized Volatility 0 0 0 15 0 1 6 61
Asymmetry and Leverage in Realized Volatility 0 0 0 38 0 1 4 89
Asymmetry and Long Memory in Volatility Modelling 0 0 1 19 1 1 4 99
Asymmetry and Long Memory in Volatility Modelling 0 0 2 77 1 1 7 99
Asymmetry and Long Memory in Volatility Modelling 0 0 0 25 0 0 3 73
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 0 0 4 107
Asymmetry and leverage in realized volatility 0 1 1 70 0 1 5 98
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 18 0 0 3 7
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 3 7
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 44 0 3 10 27
Block Structure Multivariate Stochastic Volatility Models 0 0 0 18 0 0 3 80
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 3 80
Block Structure Multivariate Stochastic Volatility Models 0 0 0 29 0 0 2 76
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 1 42
Dynamic Conditional Correlations for Asymmetric Processes 1 1 2 15 1 1 7 66
Dynamic Conditional Correlations for Asymmetric Processes 0 0 2 82 0 0 9 213
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 18 1 1 4 56
Dynamic Conditional Correlations for Asymmetric Processes 0 0 1 6 0 0 2 49
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 3 151
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 1 1 35 1 2 5 20
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 1 4 64 1 4 9 39
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 1 3 17
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 2 3 36 0 2 10 74
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 48 0 1 7 70
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 2 16 0 0 7 43
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 1 1 2 46 1 2 6 75
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 4 67
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 2 63
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 1 1 1 40 1 2 4 101
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 37 0 0 2 55
Forecasting the Volatility of Nikkei 225 Futures 0 1 43 43 0 2 12 12
Forecasting the Volatility of Nikkei 225 Futures 1 1 15 15 2 3 31 31
Forecasting the volatility of Nikkei 225 futures 1 1 29 30 2 3 35 35
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 8 1 1 6 47
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 35 0 0 4 93
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 26 0 1 14 108
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 0 0 5 27
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 3 42
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 4 59
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 2 6 40
Modelling and Forecasting Noisy Realized Volatility 0 0 2 63 0 0 5 131
Modelling and Forecasting Noisy Realized Volatility 0 0 1 67 0 0 4 109
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 0 3 100
Modelling and Forecasting Noisy Realized Volatility 0 0 1 63 0 1 8 114
Modelling and Forecasting Noisy Realized Volatility 0 1 1 22 0 1 4 117
Multivariate Stochastic Volatility 0 0 4 29 1 3 14 119
Multivariate stochastic volatility 1 1 1 260 1 3 11 518
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 2 5 52 1 4 9 140
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 1 3 50 1 4 15 28
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 16 16 1 1 10 10
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 20 0 0 6 10
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 39 39 39 0 10 10 10
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 1 13 13 13 2 7 7 7
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 10 10 10 0 3 3 3
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 1 20 20 1 2 21 21
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 1 87 87 3 4 17 17
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 13 0 0 5 24
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 25 0 0 9 48
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 1 1 29 0 1 7 38
Total Working Papers 7 82 322 2,728 26 94 492 5,436


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 51 0 0 3 106
A fractionally integrated Wishart stochastic volatility model 0 1 1 1 1 4 9 9
Alternative Asymmetric Stochastic Volatility Models 0 1 1 20 0 3 6 107
Asymmetric Multivariate Stochastic Volatility 0 0 1 44 0 2 9 127
Asymmetry and Long Memory in Volatility Modeling 0 1 2 23 0 2 6 71
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 86 2 2 5 271
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 1 1 4 1 4 6 19
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 1 2 3 242 1 3 9 422
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 66 1 2 3 228
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 5 1 2 6 33
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 1 3 13 0 3 16 75
Forecasting the volatility of Nikkei 225 futures 0 0 0 0 2 5 5 5
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 11 0 1 2 75
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 1 5 28 1 4 15 135
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 1 3 13 88
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 3 4 1 1 12 24
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 1 5 66
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 1 14 0 3 12 69
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 4 0 1 5 38
Matrix exponential stochastic volatility with cross leverage 0 0 1 1 0 1 8 17
Modelling and forecasting noisy realized volatility 0 1 1 33 1 4 6 133
Multivariate Stochastic Volatility: A Review 0 0 2 94 3 5 10 240
Multivariate stochastic volatility, leverage and news impact surfaces 1 1 1 44 2 2 5 198
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 51 0 1 8 290
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 2 0 1 2 16
Realized stochastic volatility with general asymmetry and long memory 1 3 7 7 3 8 13 13
Stochastic Multivariate Mixture Covariance Model 0 0 0 0 0 1 1 1
Stress testing correlation matrices for risk management 3 5 8 23 7 11 26 82
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 86 1 1 5 253
The structure of dynamic correlations in multivariate stochastic volatility models 1 1 3 121 2 2 7 349
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 25 0 0 2 113
Total Journal Articles 7 19 46 1,123 31 83 240 3,673


Statistics updated 2018-02-05