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 1 101
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 1 17 0 0 1 86
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 1 1 1 112
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 0 30
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 0 0 0 50
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 3 63 0 0 4 57
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 1 1 182
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 0 0 69
Alternative Asymmetric Stochastic Volatility Models 0 0 3 27 0 0 6 82
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 0 0 146
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 0 0 1 79
Asymmetric Multivariate Stochastic Volatility 0 0 0 262 0 2 3 619
Asymmetry and Leverage in Realized Volatility 0 0 0 39 0 0 2 117
Asymmetry and Leverage in Realized Volatility 0 1 1 20 0 1 2 86
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 0 3 135
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 0 0 3 105
Asymmetry and Long Memory in Volatility Modelling 0 0 1 29 0 0 1 130
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 0 1 132
Asymmetry and leverage in realized volatility 0 0 0 71 0 0 0 125
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 0 1 1 35
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 1 1 1 20 2 2 4 27
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 0 0 53
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 0 0 0 73
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 1 2 41
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 0 0 1 70
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 0 1 62
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 0 2 43
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 1 2 4 119
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 0 0 105
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 1 110
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 2 2 33
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 2 2 47
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 0 0 0 80
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 0 1 255
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 1 176
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 0 0 0 100
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 0 77
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 3 70
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 0 0 1 49
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 0 3 67
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 1 1 40
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 2 57 0 0 7 97
Factor multivariate stochastic volatility models of high dimension 0 0 2 2 0 0 7 7
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 0 0 0 119
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 0 0 1 105
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 0 1 1 97
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 0 82
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 0 1 98
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 0 2 102
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 0 1 1 134
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 0 0 78
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 0 1 4 136
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 1 2 62
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 2 2 2 86
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 2 2 2 90
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 0 0 0 6
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 0 0 0 79
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 0 1 131
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 0 0 1 152
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 0 0 65
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 1 3 72
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 1 2 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 1 1 52
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 1 3 125
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 0 2 129
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 1 3 148
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 0 0 130
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 1 2 152
Multivariate Stochastic Volatility 0 0 0 35 0 1 2 188
Multivariate stochastic volatility 0 0 0 263 1 1 3 561
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 64 0 1 7 193
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 1 1 3 50
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 0 1 1 60
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 0 0 86
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 0 38
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 0 0 1 47
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 0 0 2 44
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 0 1 1 69
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 3 93 0 0 4 48
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 14 0 0 5 55
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 0 0 1 72
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 35 0 0 2 73
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 0 0 0 83
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 1 1 1 48
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 0 0 1 26
Total Working Papers 1 2 21 3,271 12 37 143 8,562

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 1 125
A fractionally integrated Wishart stochastic volatility model 0 0 0 2 0 0 4 35
Alternative Asymmetric Stochastic Volatility Models 0 0 1 26 0 0 3 130
Asymmetric Multivariate Stochastic Volatility 0 0 1 50 0 2 4 162
Asymmetry and Long Memory in Volatility Modeling 0 1 1 29 1 2 3 117
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 0 2 0 0 0 19
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 0 0 1 295
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 2 0 0 0 11
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 0 0 0 39
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 0 0 0
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 2 2 2 32
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 0 0 0 456
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 0 81 0 0 2 272
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 2 2 0 0 4 4
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 1 4 0 0 2 8
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 3 8 1 1 11 24
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 0 1 1 64
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 1 3 22 0 1 4 137
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 0 1 42
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 2 23 0 0 6 77
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 1 2 42 0 2 3 179
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 0 0 0 99
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 0 1 1 65
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 3 95
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 0 1 1
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 0 0 0 96
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 10 0 0 0 58
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 1 1 43
Modelling and forecasting noisy realized volatility 0 1 1 37 0 1 3 169
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 7 0 0 7 18
Multivariate Stochastic Volatility: A Review 0 0 5 131 0 0 9 346
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 0 0 4 235
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 0 0 2 323
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 0 0 0 0 12
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 0 0 26
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 0 0 0 19
Realized BEKK-CAW Models 0 0 0 1 0 0 0 4
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 0 1 22
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 0 0 0 21
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 0 2 4 88
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 14
Stress testing correlation matrices for risk management 0 0 1 49 0 1 6 186
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 0 0 0 35
The impact of jumps and leverage in forecasting covolatility 0 0 1 5 0 0 1 37
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 3 144 0 0 6 423
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 1 2 126
Total Journal Articles 0 4 28 1,420 4 18 104 5,172

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Statistics updated 2025-05-12