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 17 0 5 10 96
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 5 13 124
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 1 9 11 112
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 4 6 36
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 1 5 7 57
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 0 7 9 66
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 3 10 13 95
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 2 3 72
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 4 6 188
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 5 27 31 177
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 0 3 5 84
Asymmetric Multivariate Stochastic Volatility 0 0 1 263 0 2 9 628
Asymmetry and Leverage in Realized Volatility 0 0 0 39 3 3 5 122
Asymmetry and Leverage in Realized Volatility 0 0 0 20 4 8 11 97
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 1 9 9 141
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 2 11 17 147
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 1 9 12 117
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 6 12 147
Asymmetry and leverage in realized volatility 0 0 0 71 2 6 7 132
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 1 1 2 21 1 9 12 37
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 1 3 56
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 2 8 11 45
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 4 12 16 89
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 3 7 7 61
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 6 10 51
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 2 5 5 75
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 3 10 15 77
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 3 7 50
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 4 16 21 126
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 5 6 116
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 2 5 6 124
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 6 15 46
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 1 14 15 61
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 1 8 12 92
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 3 5 181
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 19 0 5 7 107
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 6 8 85
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 1 7 7 262
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 1 3 5 75
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 66 0 2 5 72
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 37 0 3 8 57
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 3 6 46
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 1 3 60 3 10 17 114
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 6 11 13 20
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 17 7 15 18 115
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 0 6 10 115
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 0 23 32 151
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 3 13 15 97
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 7 13 17 150
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 1 4 10 108
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 2 6 7 109
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 6 12 90
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 3 11 28 163
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 5 12 15 76
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 1 3 6 90
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 4 14 102
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 0 4 6 12
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 2 10 14 93
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 2 8 10 162
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 0 1 132
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 5 5 63
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 2 3 68
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 2 54
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 2 4 7 79
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 4 13 16 145
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 1 6 8 133
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 2 11 141
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 1 6 9 161
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 4 6 154
Multivariate Stochastic Volatility 0 0 1 36 0 9 19 207
Multivariate stochastic volatility 0 1 1 264 1 10 22 582
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. ) 1 1 5 69 2 13 23 215
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 6 9 95
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 7 9 58
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 1 7 13 73
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 2 4 7 51
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 2 5 43
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 6 10 14 61
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 4 8 9 57
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 1 1 23 2 8 9 78
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 0 2 5 78
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 0 2 6 61
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 8 13 15 87
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 4 8 55
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 2 10 12 95
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 1 4 7 33
Total Working Papers 2 5 14 3,284 128 602 912 9,455

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 7 19 20 145
A fractionally integrated Wishart stochastic volatility model 0 0 1 3 0 6 10 45
Alternative Asymmetric Stochastic Volatility Models 0 0 1 27 1 8 13 143
Asymmetric Multivariate Stochastic Volatility 0 0 2 52 4 14 19 181
Asymmetry and Long Memory in Volatility Modeling 0 0 0 29 2 3 7 123
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 1 3 1 4 6 25
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 0 3 9 304
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 1 3 0 4 6 17
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 1 4 7 46
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 0 0 0 1 2 2
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 1 6 14 44
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 0 248 0 5 8 464
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 1 82 0 8 12 284
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models 0 0 0 3 2 9 9 37
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter 0 0 0 2 2 7 8 12
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 0 8 12 20
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 2 13 24 47
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 3 11 13 77
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 0 22 1 4 8 145
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 6 13 14 56
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 0 0 23 3 13 20 97
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 3 7 7 87
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 1 2 43 6 16 18 196
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 2 6 7 106
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 0 6 9 74
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 2 10 11 106
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 4 9 9 10
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 2 5 9 105
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 1 11 2 7 10 68
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 1 7 10 52
Maximum likelihood estimation for singular Wishart distributions 0 0 0 0 0 1 1 1
Modelling and forecasting noisy realized volatility 0 0 0 37 0 3 5 174
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 8 1 2 3 21
Multivariate Stochastic Volatility: A Review 0 0 0 131 3 8 15 361
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 2 7 16 251
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 0 3 4 327
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 1 1 1 2 3 15
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 2 6 8 34
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 1 5 7 26
Realized BEKK-CAW Models 0 0 0 1 3 9 10 14
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 3 43 54 76
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 1 14 20 41
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 1 10 17 104
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 3 3 17
Stress testing correlation matrices for risk management 0 1 3 52 1 8 11 197
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 1 10 11 46
The impact of jumps and leverage in forecasting covolatility 0 0 0 5 2 3 6 43
The relationship between stock return volatility and trading volume: the case of the Philippines 0 0 0 89 0 7 7 282
The structure of dynamic correlations in multivariate stochastic volatility models 1 2 2 146 2 11 13 436
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 2 4 5 131
Total Journal Articles 1 4 19 1,438 84 395 550 5,715

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 1 2 2 2
Total Chapters 0 0 0 0 1 2 2 2

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Statistics updated 2026-03-04