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 13 115
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 0 12 128
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 17 4 4 16 104
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 1 3 11 62
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 2 2 8 39
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 2 3 18 75
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 1 3 18 102
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 3 4 8 78
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 4 5 13 92
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 5 5 12 194
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 5 5 38 185
Asymmetric Multivariate Stochastic Volatility 0 0 0 263 2 2 8 631
Asymmetry and Leverage in Realized Volatility 0 0 0 20 1 3 15 103
Asymmetry and Leverage in Realized Volatility 0 0 0 39 2 4 13 131
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 1 2 17 150
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 2 2 13 145
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 2 3 16 122
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 2 14 151
Asymmetry and leverage in realized volatility 0 0 0 71 3 3 10 135
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 2 5 10 64
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 21 2 2 14 42
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 1 2 13 49
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 2 3 21 96
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 1 1 12 56
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 1 1 12 66
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 1 1 1 34 5 7 15 85
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 3 3 19 84
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 1 6 53
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 2 14 124
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 3 3 23 133
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 1 2 11 130
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 0 10 48
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 18 65
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 7 9 17 272
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 1 1 7 184
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 3 3 9 79
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 3 4 17 100
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 2 3 14 93
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 0 1 9 109
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 0 3 9 62
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 4 8 77
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 1 4 16 57
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 1 60 1 1 18 119
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 0 1 13 22
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 3 4 21 127
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 2 5 26 124
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 3 4 35 158
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 2 4 25 159
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 2 2 21 103
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 1 1 13 112
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 1 1 9 112
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 3 5 21 101
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 2 6 31 176
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 2 3 9 96
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 5 5 25 89
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 2 2 12 105
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 2 2 14 20
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 2 3 20 101
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 3 4 15 168
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 3 3 5 137
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 2 4 12 77
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 8 9 18 76
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 3 4 11 85
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 3 4 8 61
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 1 2 15 140
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 1 2 18 150
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 2 3 11 161
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 2 2 16 169
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 1 3 10 145
Multivariate Stochastic Volatility 0 0 0 36 1 1 15 211
Multivariate stochastic volatility 0 0 2 265 2 3 23 590
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 2 70 3 7 28 230
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 2 6 16 103
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 2 3 12 77
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 4 4 17 67
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 2 2 13 52
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 1 1 15 65
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 1 4 13 59
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 1 23 2 3 15 85
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 1 4 21 69
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 1 1 10 67
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 4 4 13 89
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 3 3 22 94
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 1 3 19 104
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 2 2 9 60
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 1 2 12 40
Total Working Papers 1 2 8 3,287 174 261 1,302 10,025

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 0 0 28 154
A fractionally integrated Wishart stochastic volatility model 0 0 0 3 1 2 15 53
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 1 2 15 148
Asymmetric Multivariate Stochastic Volatility 0 0 0 52 0 1 19 183
Asymmetry and Long Memory in Volatility Modeling 0 0 0 29 1 2 8 128
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 0 3 2 2 11 32
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 3 3 11 309
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 3 3 3 9 21
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 2 3 12 52
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 1 1 0 0 2 3
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 0 1 9 47
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 1 249 1 2 13 471
Dynamic Asymmetric Leverage in Stochastic Volatility Models 1 1 1 83 4 4 27 303
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 0 1 18 46
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 2 76 86 91
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 1 5 3 3 17 28
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 0 10 3 3 27 57
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 3 5 23 87
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 1 23 3 3 12 152
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 2 2 25 68
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 1 24 1 1 28 109
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 2 4 13 93
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 1 43 4 5 26 206
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 2 3 14 113
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 2 3 12 78
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 2 2 14 110
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 0 11 12
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 0 1 12 111
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 11 0 0 8 69
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 3 3 15 59
Maximum likelihood estimation for singular Wishart distributions 0 0 0 0 1 3 5 5
Modelling and forecasting noisy realized volatility 0 0 0 37 1 2 8 178
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 9 0 0 3 22
Multivariate Stochastic Volatility: A Review 1 1 2 133 4 4 19 368
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 3 5 24 259
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 1 2 13 337
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 1 0 0 6 19
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 0 9 37
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 1 1 1 6 2 2 11 32
Realized BEKK-CAW Models 0 0 0 1 0 2 18 23
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 2 2 53 79
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 0 1 24 47
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 3 5 21 112
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 2 2 10 24
Stress testing correlation matrices for risk management 0 1 3 54 1 2 23 212
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 1 1 15 51
The impact of jumps and leverage in forecasting covolatility 1 1 1 6 1 1 10 48
The relationship between stock return volatility and trading volume: the case of the Philippines 0 2 2 91 1 3 14 289
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 4 148 3 6 21 445
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 4 5 10 136
Total Journal Articles 4 7 21 1,455 80 188 857 6,116

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 2 2 8 8
Total Chapters 0 0 0 0 2 2 8 8

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Statistics updated 2026-11-12