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 1 2 3 114
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 1 1 2 87
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 0 63 0 0 1 57
Alternative Asymmetric Stochastic Volatility Models 0 0 3 27 1 1 7 83
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 0 1 182
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 0 0 1 79
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 0 0 69
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 1 1 1 147
Asymmetric Multivariate Stochastic Volatility 0 1 1 263 0 2 5 621
Asymmetry and Leverage in Realized Volatility 0 0 1 20 0 0 2 86
Asymmetry and Leverage in Realized Volatility 0 0 0 39 1 1 2 118
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 0 2 3 132
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 1 3 136
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 1 1 2 106
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 0 1 35
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 0 0 0 53
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 20 0 0 2 27
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 0 1 1 74
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 2 0 1 3 43
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 1 1 63
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 0 1 43
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 0 0 105
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 0 0 0 110
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 1 3 34
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 20 0 1 1 81
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 0 70
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 82 0 0 0 255
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 0 0 77
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 2 2 5 69
Estimating and forecasting generalized fractional Long memory stochastic volatility models 0 0 0 25 0 0 1 40
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 3 58 0 0 6 98
Factor multivariate stochastic volatility models of high dimension 0 0 0 2 0 1 2 8
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 17 0 1 2 98
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 0 1 1 106
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 1 2 99
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 0 1 102
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 40 0 0 1 134
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 1 1 79
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 3 6 9 143
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 0 1 3 87
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 1 4 64
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 2 4 92
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 1 80
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 21 0 1 2 53
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 2 4 74
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 24 0 0 1 58
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 1 1 3 153
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 0 2 148
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 2 2 3 133
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 0 3 125
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 0 1 129
Multivariate Stochastic Volatility 0 0 1 36 0 0 3 189
Multivariate stochastic volatility 0 0 0 263 0 2 4 563
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. ) 3 4 5 68 7 8 12 201
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 0 0 86
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 0 2 50
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 0 1 2 61
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 1 3 4 50
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 1 1 2 45
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 1 1 39
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 3 93 0 0 4 48
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 22 0 0 1 69
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 0 35 1 1 1 74
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 1 14 1 1 4 56
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 1 2 49
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 0 1 1 84
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 0 0 0 26
Total Working Papers 3 5 21 3,278 27 60 164 8,629

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 1 2 126
A fractionally integrated Wishart stochastic volatility model 1 1 1 3 1 2 5 37
Alternative Asymmetric Stochastic Volatility Models 1 1 1 27 2 3 5 133
Asymmetric Multivariate Stochastic Volatility 0 1 3 52 0 1 5 164
Asymmetry and Long Memory in Volatility Modeling 0 0 1 29 1 1 5 119
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 1 1 3 0 1 1 20
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 1 1 3 0 1 1 12
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 1 1 1 40
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 3 6 36
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 1 82 0 1 3 274
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 1 2 0 0 2 4
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 0 4 0 0 2 9
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 2 10 0 0 9 27
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 0 0 1 64
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 0 2 22 1 2 5 140
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 1 6 79
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 1 3 180
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 0 2 66
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 1 4 96
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 2 2 98
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 1 1 11 1 2 2 60
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 0 2 44
Modelling and forecasting noisy realized volatility 0 0 1 37 0 1 2 170
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 7 0 0 2 18
Multivariate Stochastic Volatility: A Review 0 0 3 131 1 1 6 347
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 1 1 1 0 1 1 13
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 1 1 1 20
Realized BEKK-CAW Models 0 0 0 1 1 1 1 5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 2 3 24
Realized stochastic volatility models with generalized Gegenbauer long memory 0 0 0 3 1 2 2 23
Realized stochastic volatility with general asymmetry and long memory 0 0 0 15 0 1 3 89
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 0 0 14
Stress testing correlation matrices for risk management 0 1 3 51 0 2 6 189
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 1 2 38
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 2 144 0 1 4 424
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 0 2 126
Total Journal Articles 2 8 30 1,433 13 38 119 5,223

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Statistics updated 2025-09-05