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 17 2 2 12 98
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 2 4 14 115
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 1 13 125
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 6 36
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 2 3 9 59
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 4 4 13 70
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 1 2 7 86
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 1 4 73
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 1 7 33 179
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 1 7 189
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 0 4 14 96
Asymmetric Multivariate Stochastic Volatility 0 0 1 263 1 1 10 629
Asymmetry and Leverage in Realized Volatility 0 0 0 20 3 7 14 100
Asymmetry and Leverage in Realized Volatility 0 0 0 39 3 6 8 125
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 1 2 10 142
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 0 2 17 147
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 1 2 14 149
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 1 2 13 118
Asymmetry and leverage in realized volatility 0 0 0 71 0 2 7 132
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 1 1 21 0 1 10 37
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 1 1 4 57
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 2 4 12 47
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 3 7 11 65
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 1 7 19 92
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 1 11 52
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 3 5 8 78
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 7 19 81
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 1 8 51
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 2 5 8 127
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 6 6 12 122
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 2 6 23 128
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 2 15 48
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 1 3 16 63
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 1 1 8 108
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 2 8 263
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 1 1 6 182
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 2 5 16 96
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 1 5 75
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 4 4 12 89
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 0 5 72
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 0 2 10 59
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 2 4 10 50
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 3 60 1 4 18 115
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 1 7 14 21
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 0 2 34 153
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 1 10 21 118
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 6 7 17 122
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 2 11 20 154
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 1 2 11 109
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 1 3 8 110
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 3 7 19 101
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 3 3 15 93
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 4 7 31 167
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 1 3 6 92
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 4 12 21 83
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 1 13 103
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 3 4 10 16
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 1 5 17 96
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 1 3 11 163
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 1 1 2 133
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 4 6 8 73
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 2 3 5 57
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 3 8 80
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 1 2 7 65
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 1 6 18 147
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 0 11 141
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 3 5 12 137
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 3 4 12 164
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 4 4 10 158
Multivariate Stochastic Volatility 0 0 1 36 3 3 22 210
Multivariate stochastic volatility 1 1 2 265 1 2 22 583
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 5 69 5 9 29 222
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 2 3 11 61
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 0 9 95
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 0 2 14 74
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 4 6 11 49
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 2 9 17 64
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 2 4 9 53
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 1 23 1 4 11 80
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 5 9 14 62
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 4 4 9 82
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 3 4 10 65
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 3 11 18 90
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 1 1 8 56
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 4 7 17 100
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 1 2 8 34
Total Working Papers 1 3 14 3,285 147 334 1,099 9,661

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 2 12 25 150
A fractionally integrated Wishart stochastic volatility model 0 0 1 3 6 6 16 51
Alternative Asymmetric Stochastic Volatility Models 0 0 1 27 0 3 15 145
Asymmetric Multivariate Stochastic Volatility 0 0 2 52 0 4 19 181
Asymmetry and Long Memory in Volatility Modeling 0 0 0 29 1 3 7 124
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 1 3 4 6 11 30
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 0 2 11 306
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 1 3 1 1 7 18
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 3 4 10 49
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 2 2
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 1 2 13 45
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 1 1 1 249 3 4 12 468
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 82 7 10 22 294
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 7 9 16 44
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 1 4 10 14
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 1 1 13 21
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 3 5 26 50
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 3 7 17 81
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 0 22 2 4 11 148
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 4 13 21 63
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 0 23 6 10 27 104
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 0 4 8 88
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 1 43 4 10 21 200
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 3 5 10 109
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 1 1 10 75
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 1 3 12 107
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 1 5 10 11
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 2 6 13 109
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 1 11 0 3 11 69
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 3 4 12 55
Maximum likelihood estimation for singular Wishart distributions 0 0 0 0 0 1 2 2
Modelling and forecasting noisy realized volatility 0 0 0 37 1 1 6 175
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 8 0 1 3 21
Multivariate Stochastic Volatility: A Review 0 1 1 132 0 4 16 362
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 2 5 19 254
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 1 2 6 329
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 3 4 6 18
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 2 5 11 37
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 2 4 10 29
Realized BEKK-CAW Models 0 0 0 1 3 7 14 18
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 1 4 55 77
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 2 5 24 45
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 1 3 18 106
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 3 3 6 20
Stress testing correlation matrices for risk management 1 1 4 53 5 10 20 206
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 1 4 14 49
The impact of jumps and leverage in forecasting covolatility 0 0 0 5 3 5 9 46
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 89 3 3 10 285
The structure of dynamic correlations in multivariate stochastic volatility models 0 1 2 146 1 3 14 437
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 2 5 131
Total Journal Articles 2 4 21 1,441 104 227 686 5,858

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 3 5 6 6
Total Chapters 0 0 0 0 3 5 6 6

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Statistics updated 2026-05-06