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 15 0 0 6 72
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 2 2 9 101
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 2 5 14 85
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 0 1 1 37
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 1 15 1 1 9 23
Alternative Asymmetric Stochastic Volatility Models 0 0 0 24 0 0 5 58
Alternative Asymmetric Stochastic Volatility Models 0 0 1 8 0 0 10 56
Alternative Asymmetric Stochastic Volatility Models 0 0 0 46 3 3 7 162
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 0 7 136
Alternative Asymmetric Stochastic Volatility Models 0 0 1 6 2 2 7 58
Asymmetric Multivariate Stochastic Volatility 0 0 0 260 1 1 8 590
Asymmetry and Leverage in Realized Volatility 0 0 1 39 0 0 7 97
Asymmetry and Leverage in Realized Volatility 0 0 1 16 0 0 7 71
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 3 10 111
Asymmetry and Long Memory in Volatility Modelling 0 0 1 20 0 1 10 110
Asymmetry and Long Memory in Volatility Modelling 0 0 0 28 1 1 10 118
Asymmetry and Long Memory in Volatility Modelling 0 0 0 25 0 1 8 81
Asymmetry and leverage in realized volatility 0 0 1 71 1 1 9 107
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 44 0 0 4 42
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 0 10 20
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 18 2 3 7 17
Asymptotic Theory for Rotated Multivariate GARCH Models 0 1 12 12 2 4 19 19
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 33 33 4 6 41 41
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 0 1 3 9 9
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 13 1 2 9 27
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 2 31 2 4 17 39
Bayesian analysis of realized matrix-exponential GARCH models 0 0 2 6 1 3 11 23
Block Structure Multivariate Stochastic Volatility Models 0 0 0 29 0 0 8 85
Block Structure Multivariate Stochastic Volatility Models 0 0 1 19 0 1 7 90
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 5 86
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 25 25 1 3 15 15
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 1 1 19 19 3 5 18 18
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 1 3 10 67
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 1 4 55
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 16 1 2 11 81
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 1 2 9 161
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 2 8 230
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 3 15 59
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 65 0 0 5 50
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 35 0 0 7 28
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 0 4 23
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 48 2 2 6 86
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 36 1 1 10 86
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 16 0 1 8 51
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 1 2 7 70
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 1 7 120
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 2 7 88
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 2 7 80
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 37 1 1 6 64
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 1 28 28 28 9 27 27 27
Forecasting the Volatility of Nikkei 225 Futures 0 0 1 16 0 0 13 60
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 46 4 5 15 38
Forecasting the volatility of Nikkei 225 futures 0 0 2 35 0 2 19 61
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 2 2 10 63
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 35 1 2 9 108
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 26 2 4 11 126
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 2 3 9 53
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 1 61
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 23 1 1 4 45
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 0 1 2 30
Modelling and Forecasting Noisy Realized Volatility 0 0 1 64 1 1 10 141
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 3 3 7 122
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 1 4 10 110
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 1 1 8 128
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 0 6 116
Multivariate Stochastic Volatility 0 0 2 32 1 4 12 139
Multivariate stochastic volatility 0 0 0 260 2 3 8 530
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 2 56 1 1 10 154
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 20 1 3 10 24
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 50 0 0 12 51
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 1 2 6 19
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 39 0 2 12 27
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 13 0 1 8 19
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 10 1 1 9 26
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 1 1 21 0 2 10 43
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 87 0 0 7 28
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 25 0 0 7 57
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 13 0 0 5 32
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 32 0 0 10 52
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 17 17 5 12 20 20
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 18 18 3 5 13 13
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 13 13 0 0 3 3
Total Working Papers 2 31 188 2,980 82 174 778 6,529


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 4 110
A fractionally integrated Wishart stochastic volatility model 0 0 0 1 3 3 10 22
Alternative Asymmetric Stochastic Volatility Models 0 0 0 22 0 0 4 113
Asymmetric Multivariate Stochastic Volatility 0 0 1 45 2 2 10 143
Asymmetry and Long Memory in Volatility Modeling 0 0 0 24 0 2 14 87
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 87 0 0 1 273
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 4 0 0 4 24
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 243 0 3 9 433
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 1 2 68 1 3 11 240
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 1 1 1 2 2 2 6 13
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 5 3 3 9 45
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 2 3 16 1 4 16 94
Forecasting the volatility of Nikkei 225 futures 0 0 3 3 0 0 11 25
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 12 0 1 1 77
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 5 36 0 2 13 154
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 0 0 0 89
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 5 0 0 7 33
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 1 2 5 74
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 1 16 1 1 9 80
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 5 0 1 3 42
Matrix exponential stochastic volatility with cross leverage 0 0 1 2 1 1 3 20
Modelling and forecasting noisy realized volatility 0 0 0 33 1 1 5 146
Multivariate Stochastic Volatility: A Review 0 1 1 98 1 3 9 260
Multivariate stochastic volatility, leverage and news impact surfaces 0 1 1 45 2 3 10 218
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 51 1 1 8 306
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 1 3 0 0 5 21
Realized stochastic volatility with general asymmetry and long memory 0 1 2 11 1 3 24 57
Stochastic Multivariate Mixture Covariance Model 0 0 1 2 0 0 4 9
Stress testing correlation matrices for risk management 0 0 1 25 3 3 8 93
The impact of jumps and leverage in forecasting covolatility 0 0 0 1 0 2 11 17
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 1 88 0 1 3 257
The structure of dynamic correlations in multivariate stochastic volatility models 1 2 3 128 1 2 11 369
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 25 0 0 1 114
Total Journal Articles 2 9 28 1,177 25 49 249 4,058


Statistics updated 2019-09-09