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 3 5 8 119
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 17 3 4 6 91
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 1 2 3 103
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 1 2 2 32
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 1 2 2 52
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 2 2 3 59
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 2 2 3 184
Alternative Asymmetric Stochastic Volatility Models 0 0 3 27 1 2 6 85
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 1 1 70
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 3 3 4 150
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 2 2 3 81
Asymmetric Multivariate Stochastic Volatility 0 0 1 263 3 5 9 626
Asymmetry and Leverage in Realized Volatility 0 0 0 39 1 1 3 119
Asymmetry and Leverage in Realized Volatility 0 0 1 20 1 3 5 89
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 2 2 4 108
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 0 1 132
Asymmetry and Long Memory in Volatility Modelling 0 0 1 29 3 4 7 136
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 4 5 8 141
Asymmetry and leverage in realized volatility 0 0 0 71 1 1 1 126
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 1 2 3 37
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 1 2 2 55
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 20 0 1 3 28
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 0 0 1 54
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 2 3 4 77
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 1 2 5 45
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 2 4 5 67
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 8 0 4 4 47
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 1 111
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 0 2 119
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 5 5 110
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 2 6 9 40
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 2 47
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 0 0 255
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 1 3 4 84
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 2 2 2 72
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 2 2 2 102
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 1 2 2 178
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 2 2 79
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 1 5 6 54
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 1 1 6 70
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 2 3 4 43
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 1 2 59 3 6 9 104
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 0 1 3 9
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 5 9 9 128
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 2 2 4 100
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 3 3 4 109
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 2 2 2 84
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 1 1 103
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 3 3 4 137
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 5 5 6 104
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 4 5 6 84
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 7 9 17 152
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 0 0 3 64
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 5 6 10 98
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 2 2 2 8
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 2 3 4 83
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 1 2 3 154
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 1 1 132
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 1 5 75
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 0 1 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 1 1 66
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 1 3 54
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 4 6 9 139
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 2 2 5 155
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 2 2 4 127
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 2 4 150
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 3 4 132
Multivariate Stochastic Volatility 0 0 1 36 2 9 12 198
Multivariate stochastic volatility 0 0 0 263 5 9 12 572
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 0 1 11 202
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 1 5 7 66
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 1 1 3 51
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 2 3 3 89
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 1 2 3 47
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 1 1 5 51
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 2 2 3 41
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 2 93 1 1 3 49
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 0 1 2 70
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 14 2 3 7 59
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 0 2 3 76
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 2 2 2 74
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 2 4 51
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 0 1 2 85
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 1 3 3 29
Total Working Papers 0 1 18 3,279 130 224 365 8,853

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 1 126
A fractionally integrated Wishart stochastic volatility model 0 0 1 3 1 2 7 39
Alternative Asymmetric Stochastic Volatility Models 0 0 1 27 2 2 7 135
Asymmetric Multivariate Stochastic Volatility 0 0 2 52 3 3 7 167
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 3 6 6 301
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 1 3 1 1 2 13
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 2 2 3 42
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 1 1 1
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 0 2 8 38
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 1 3 3 459
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 82 0 2 4 276
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 0 0 0 28
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 0 1 2 5
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 1 3 4 12
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 4 7 12 34
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 2 2 3 66
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 1 22 1 1 5 141
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 1 1 43
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 2 23 3 5 10 84
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 0 0 3 180
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 1 1 1 100
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 2 2 4 68
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 0 0 0 1
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 1 2 4 100
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 1 11 0 1 3 61
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 1 1 3 45
Modelling and forecasting noisy realized volatility 0 0 1 37 1 1 3 171
Multivariate Hyper-Rotated GARCH-BEKK 0 1 2 8 0 1 2 19
Multivariate Stochastic Volatility: A Review 0 0 2 131 4 6 10 353
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 9 9 10 244
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 0 1 1 324
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 0 2 2 28
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 0 0 1 5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 7 9 11 33
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 4 4 6 27
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 3 5 8 94
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 14
Stress testing correlation matrices for risk management 0 0 2 51 0 0 4 189
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 0 1 1 36
The impact of jumps and leverage in forecasting covolatility 0 0 1 5 2 2 4 40
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 89 0 0 1 275
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 0 144 1 1 2 425
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 1 1 2 127
Total Journal Articles 0 1 24 1,434 61 97 187 5,320

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Statistics updated 2025-12-06