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 2 6 10 121
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 17 1 5 6 92
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 4 6 7 107
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 0 1 2 52
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 1 3 3 33
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 2 4 5 61
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 2 4 5 186
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 1 3 3 82
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 2 3 3 72
Alternative Asymmetric Stochastic Volatility Models 0 0 2 27 3 4 8 88
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 17 20 21 167
Asymmetric Multivariate Stochastic Volatility 0 0 1 263 1 5 10 627
Asymmetry and Leverage in Realized Volatility 0 0 1 20 1 4 6 90
Asymmetry and Leverage in Realized Volatility 0 0 0 39 0 1 3 119
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 1 3 5 109
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 2 7 9 143
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 2 6 8 138
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 2 2 2 134
Asymmetry and leverage in realized volatility 0 0 0 71 0 1 1 126
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 2 4 5 39
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 2 2 55
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 20 2 3 5 30
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 3 6 7 80
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 0 0 0 54
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 2 4 7 47
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 1 5 6 68
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 2 5 6 49
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 2 3 3 113
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 4 9 9 114
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 0 2 119
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 2 5 11 42
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 3 3 5 50
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 1 3 3 73
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 2 2 178
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 2 2 2 257
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 1 3 3 103
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 3 5 5 82
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 2 5 6 86
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 1 4 7 55
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 1 2 7 71
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 3 4 43
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 1 2 3 60 2 7 11 106
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 1 1 3 10
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 2 4 6 102
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 14 23 23 142
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 3 6 7 112
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 3 5 5 87
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 1 6 7 105
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 3 4 137
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 2 2 3 105
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 1 6 7 85
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 4 13 21 156
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 48 3 3 6 67
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 1 7 11 99
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 3 5 5 11
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 4 7 8 87
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 1 1 132
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 2 4 5 156
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 1 3 54
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 2 5 76
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 1 1 66
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 1 1 2 59
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 2 4 6 129
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 2 4 7 157
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 6 9 139
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 4 6 8 136
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 2 4 6 152
Multivariate Stochastic Volatility 0 0 1 36 4 12 16 202
Multivariate stochastic volatility 0 0 0 263 3 12 15 575
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 4 68 4 5 14 206
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 3 7 10 69
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 2 5 5 91
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 2 3 5 53
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 2 3 7 53
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 2 3 41
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 2 4 5 49
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 2 3 3 51
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 2 2 4 72
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 1 2 4 77
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 1 3 7 60
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 2 4 4 76
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 3 4 5 88
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 1 3 5 52
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 2 5 5 31
Total Working Papers 1 2 13 3,280 172 377 524 9,025

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 1 1 2 127
A fractionally integrated Wishart stochastic volatility model 0 0 1 3 2 3 7 41
Alternative Asymmetric Stochastic Volatility Models 0 0 1 27 1 3 7 136
Asymmetric Multivariate Stochastic Volatility 0 0 2 52 2 5 9 169
Asymmetry and Long Memory in Volatility Modeling 0 0 1 29 0 1 6 120
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 1 3 0 1 2 21
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 1 6 7 302
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 1 3 1 2 3 14
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 1 3 4 43
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 1 2 2 2
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 1 1 9 39
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 0 3 3 459
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 82 2 3 6 278
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 2 2 2 30
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 1 2 3 6
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 3 6 7 15
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 3 10 15 37
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 2 4 5 68
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 1 22 2 3 7 143
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 2 3 3 45
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 1 23 4 9 12 88
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 2 2 5 182
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 1 2 2 101
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 5 7 9 73
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 4 96
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 3 3 3 4
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 1 2 5 101
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 1 11 2 3 5 63
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 1 2 4 46
Modelling and forecasting noisy realized volatility 0 0 1 37 1 2 4 172
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 8 0 0 1 19
Multivariate Stochastic Volatility: A Review 0 0 1 131 3 8 12 356
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 3 12 12 247
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 1 1 2 325
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 0 0 1 13
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 1 2 3 29
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 0 1 2 21
Realized BEKK-CAW Models 0 0 0 1 1 1 2 6
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 23 32 34 56
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 3 7 9 30
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 1 6 9 95
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 14
Stress testing correlation matrices for risk management 0 0 2 51 1 1 5 190
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 3 3 4 39
The impact of jumps and leverage in forecasting covolatility 0 0 0 5 0 2 3 40
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 89 3 3 3 278
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 0 144 1 2 3 426
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 1 2 127
Total Journal Articles 0 0 20 1,434 92 178 269 5,412

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Statistics updated 2026-01-09