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 0 13 100
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 0 14 115
A Fractionally Integrated Wishart Stochastic Volatility Model 0 0 0 30 0 1 13 128
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 43 0 2 10 61
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics 0 0 0 15 0 0 7 37
A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models 0 0 0 63 0 1 16 73
Alternative Asymmetric Stochastic Volatility Models 0 0 0 47 0 0 7 189
Alternative Asymmetric Stochastic Volatility Models 0 0 0 9 0 1 6 75
Alternative Asymmetric Stochastic Volatility Models 0 0 0 7 0 1 9 88
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 0 2 17 101
Alternative Asymmetric Stochastic Volatility Models 0 0 0 62 0 0 33 180
Asymmetric Multivariate Stochastic Volatility 0 0 0 263 0 0 7 629
Asymmetry and Leverage in Realized Volatility 0 0 0 39 1 3 11 129
Asymmetry and Leverage in Realized Volatility 0 0 0 20 1 2 16 102
Asymmetry and Long Memory in Volatility Modelling 0 0 0 29 0 1 17 149
Asymmetry and Long Memory in Volatility Modelling 0 0 0 20 0 2 15 151
Asymmetry and Long Memory in Volatility Modelling 0 0 0 26 1 1 14 120
Asymmetry and Long Memory in Volatility Modelling 0 0 0 77 0 0 11 143
Asymmetry and leverage in realized volatility 0 0 0 71 0 0 7 132
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 1 21 0 0 13 40
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 45 1 3 9 62
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes 0 0 0 13 1 1 13 48
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 2 0 1 12 55
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 19 0 0 11 65
Asymptotic Theory for Rotated Multivariate GARCH Models 0 0 0 38 1 1 20 94
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 18 0 0 18 81
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 33 0 2 10 80
Bayesian analysis of realized matrix-exponential GARCH models 0 0 0 8 0 1 9 53
Block Structure Multivariate Stochastic Volatility Models 0 0 0 19 0 1 25 130
Block Structure Multivariate Stochastic Volatility Models 0 0 0 30 0 1 10 129
Block Structure Multivariate Stochastic Volatility Models 0 0 0 34 1 1 13 123
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 0 11 48
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 2 18 65
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 7 0 0 6 76
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 82 0 2 10 265
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 73 0 0 7 183
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 14 0 2 14 91
Dynamic Conditional Correlations for Asymmetric Processes 0 0 0 20 0 1 16 97
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 1 3 11 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 0 3 16 56
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix 0 0 2 60 0 0 19 118
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 17 0 3 24 122
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 37 0 1 18 124
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance 0 0 0 51 0 2 36 155
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 46 0 0 8 111
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 40 1 3 23 157
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 35 0 0 12 111
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models 0 0 0 8 0 0 19 101
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models 0 0 0 38 0 5 19 98
Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks 0 0 0 28 1 5 31 174
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 18 1 1 7 94
Forecasting the Volatility of Nikkei 225 Futures 0 0 0 48 0 0 20 84
Forecasting the volatility of Nikkei 225 futures 0 0 0 36 0 0 11 103
High-Dimensional Sparse Multivariate Stochastic Volatility Models 0 0 0 39 0 0 12 18
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 9 0 1 19 99
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 36 0 1 3 134
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing 0 0 0 29 1 1 13 165
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 1 1 10 68
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 1 5 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 2 10 75
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 1 8 82
Modelling and Forecasting Noisy Realized Volatility 0 0 0 67 0 2 19 149
Modelling and Forecasting Noisy Realized Volatility 0 0 0 63 0 2 11 144
Modelling and Forecasting Noisy Realized Volatility 0 0 0 52 0 1 14 139
Modelling and Forecasting Noisy Realized Volatility 0 0 0 23 0 1 11 159
Modelling and Forecasting Noisy Realized Volatility 0 0 0 64 0 0 14 167
Multivariate Stochastic Volatility 0 0 0 36 0 0 20 210
Multivariate stochastic volatility 0 0 2 265 0 2 25 588
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 2 70 2 4 26 227
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 24 0 1 13 75
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 16 0 1 13 63
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers 0 0 0 53 0 4 15 101
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 41 0 0 14 64
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 11 1 3 13 58
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory 0 0 0 14 0 0 11 50
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 0 93 0 4 20 68
Realized Stochastic Volatility with General Asymmetry and Long Memory 0 0 1 23 0 1 13 83
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 27 0 1 19 91
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 35 0 0 10 85
The Impact of Jumps and Leverage in Forecasting Co-Volatility 0 0 0 14 0 0 9 66
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 18 0 1 9 58
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 32 1 2 19 103
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures 0 0 0 14 1 1 13 39
Total Working Papers 1 1 8 3,286 21 107 1,203 9,851

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 1 14 52
Alternative Asymmetric Stochastic Volatility Models 0 0 0 27 1 1 14 147
Asymmetric Multivariate Stochastic Volatility 0 0 0 52 0 1 19 183
Asymmetry and Long Memory in Volatility Modeling 0 0 0 29 0 2 8 127
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models 0 0 0 3 0 0 10 30
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models 0 0 0 94 0 0 10 306
Bayesian Analysis of Realized Matrix-Exponential GARCH Models 0 0 0 3 0 0 6 18
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions 0 0 0 5 1 1 10 50
Bayesian non‐linear quantile effects on modelling realized kernels 0 0 1 1 0 0 3 3
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 0 2 9 47
Comparison of MCMC Methods for Estimating Stochastic Volatility Models 0 0 1 249 1 2 14 470
Dynamic Asymmetric Leverage in Stochastic Volatility Models 0 0 0 82 0 0 24 299
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 0 74 85 89
Estimation of high-dimensional vector autoregression via sparse precision matrix 0 0 1 5 0 1 16 25
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application 0 0 0 10 0 1 27 54
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models 0 0 0 8 1 2 20 84
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance 0 1 1 23 0 1 9 149
Forecasting the volatility of Nikkei 225 futures 0 0 0 5 0 1 24 66
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks 0 1 1 24 0 1 29 108
Forecasting volatility using range data: analysis for emerging equity markets in Latin America 0 0 0 13 1 2 11 91
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil 0 0 1 43 1 2 22 202
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets 0 0 0 20 1 2 12 111
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited 0 0 0 11 1 1 10 76
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range 0 0 0 0 0 0 12 108
High‐dimensional sparse multivariate stochastic volatility models 0 0 0 0 0 1 11 12
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing 0 0 0 16 1 2 12 111
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes 0 0 0 11 0 0 9 69
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 0 12 56
Maximum likelihood estimation for singular Wishart distributions 0 0 0 0 1 2 4 4
Modelling and forecasting noisy realized volatility 0 0 0 37 1 1 7 177
Multivariate Hyper-Rotated GARCH-BEKK 0 0 1 9 0 0 3 22
Multivariate Stochastic Volatility: A Review 0 0 1 132 0 1 16 364
Multivariate stochastic volatility, leverage and news impact surfaces 0 0 0 46 0 2 21 256
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 0 0 52 0 2 12 336
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations 0 0 0 1 0 1 6 19
Portfolio single index (PSI) multivariate conditional and stochastic volatility models 0 0 0 3 0 0 10 37
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models 0 0 0 5 0 0 10 30
Realized BEKK-CAW Models 0 0 0 1 1 3 18 23
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers 0 0 0 8 0 0 53 77
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 2 3 20 109
Stochastic Multivariate Mixture Covariance Model 0 0 0 2 0 1 8 22
Stress testing correlation matrices for risk management 0 1 3 54 0 2 22 211
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures 0 0 0 4 0 1 14 50
The impact of jumps and leverage in forecasting covolatility 0 0 0 5 0 1 9 47
The relationship between stock return volatility and trading volume: the case of the Philippines 1 2 2 91 1 3 13 288
The structure of dynamic correlations in multivariate stochastic volatility models 0 0 4 148 0 3 18 442
Time series evidence on a new Keynesian theory of the output-inflation trade-off 0 0 0 27 0 1 6 132
Total Journal Articles 1 5 17 1,451 16 130 802 6,036

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 0 0 6 6
Total Chapters 0 0 0 0 0 0 6 6

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Statistics updated 2026-10-11