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 3 96
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 1 3 4 108
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 15 1 1 2 80
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 1 2 4 47
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 0 28
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 1 4 54 2 5 17 28
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 0 2 140
Alternative Asymmetric Stochastic Volatility Models 0 0 0 46 0 0 4 169
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 1 1 3 67
Alternative Asymmetric Stochastic Volatility Models 0 0 0 8 0 1 3 62
Alternative Asymmetric Stochastic Volatility Models 0 0 0 6 2 2 3 74
Asymmetric Multivariate Stochastic Volatility 0 0 0 260 0 0 12 607
Asymmetry and Leverage in Realized Volatility 0 0 0 16 0 0 2 78
Asymmetry and Leverage in Realized Volatility 0 0 0 39 0 0 9 113
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 2 3 4 125
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 1 2 2 127
Asymmetry and Long Memory in Volatility Modelling 0 0 0 25 1 1 5 97
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 1 1 7 129
Asymmetry and leverage in realized volatility 0 0 0 71 1 1 7 119
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 18 1 1 1 20
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 2 27
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 44 0 0 4 49
Asymptotic Theory for Rotated Multivariate GARCH Models 0 1 2 16 1 3 11 44
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 1 2 2 3 9 26
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 2 37 2 4 12 63
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 1 2 18 1 3 13 51
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 32 2 2 10 54
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 1 1 4 35
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 8 102
Block Structure Multivariate Stochastic Volatility Models 0 0 0 29 1 2 4 93
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 0 8 102
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 2 6 26
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 1 25 3 4 10 36
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 5 70
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 16 0 0 3 90
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 3 170
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 0 0 2 75
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 0 6 249
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 3 62
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 1 1 66 0 1 6 62
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 1 36 0 0 6 40
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 2 3 8 35
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 1 49 0 1 16 109
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 1 1 4 98
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 16 1 5 16 72
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 1 7 91
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 0 6 127
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 1 2 6 96
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 5 76
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 1 38 1 1 7 77
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 3 3 27 91
Forecasting the Volatility of Nikkei 225 Futures 1 1 1 47 3 3 4 52
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 16 0 1 7 73
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 4 5 12 80
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 0 3 4 75
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 26 0 3 9 144
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 35 1 2 6 122
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 0 0 6 44
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 4 67
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 24 0 0 3 52
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 22 1 1 4 60
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 0 3 128
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 0 2 118
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 0 1 145
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 1 7 142
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 1 1 4 125
Multivariate Stochastic Volatility 0 0 0 33 1 3 19 175
Multivariate stochastic volatility 0 1 1 261 1 3 9 545
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 1 57 0 2 9 166
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 2 52 0 2 13 72
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 2 22 2 4 14 43
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 1 4 17 40
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 1 41 0 0 5 42
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 0 0 4 36
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 4 31
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 0 0 6 63
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 1 89 2 2 6 42
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 32 2 3 8 67
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 13 1 1 9 46
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 26 1 3 5 65
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 2 2 8 30 2 6 28 70
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 2 3 11 35
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 1 14 1 2 10 21
Total Working Papers 3 8 36 3,096 65 125 584 7,698


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 51 0 0 1 113
A fractionally integrated Wishart stochastic volatility model 0 0 0 1 0 0 4 27
Alternative Asymmetric Stochastic Volatility Models 0 0 1 23 0 0 2 119
Asymmetric Multivariate Stochastic Volatility 0 0 1 46 0 1 5 150
Asymmetry and Long Memory in Volatility Modeling 0 0 1 25 1 1 7 98
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 1 88 0 0 7 284
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 4 0 1 3 29
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 2 2 3 7 20 20
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 1 247 0 1 8 449
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 72 0 0 3 252
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 2 1 2 9 27
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 1 1 7 1 3 11 61
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 1 17 0 3 12 115
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 3 4 5 38
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 2 3 7 7 4 9 24 24
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 12 0 0 0 77
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 0 40 0 1 6 171
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 0 1 3 94
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 1 8 0 0 11 54
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 4 86
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 1 2 5 93
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 1 2 10 0 2 7 54
Matrix exponential stochastic volatility with cross leverage 0 0 0 3 1 2 7 33
Modelling and forecasting noisy realized volatility 0 0 0 33 1 1 2 155
Multivariate Stochastic Volatility: A Review 0 2 9 110 1 4 28 302
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 45 1 1 2 224
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 51 0 0 3 314
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 0 1 24
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 3 3 0 5 9 9
Realized stochastic volatility with general asymmetry and long memory 0 0 1 13 0 0 7 71
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 2 12
Stress testing correlation matrices for risk management 1 2 6 36 1 4 24 141
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 2 4 1 3 14 29
The impact of jumps and leverage in forecasting covolatility 0 0 0 1 1 1 7 29
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 88 1 1 2 260
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 1 131 2 4 7 388
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 26 0 1 1 120
Total Journal Articles 3 9 42 1,252 24 65 273 4,546


Statistics updated 2021-04-06