Manabu Asai
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Affiliations
-
Soka University
/ Faculty of Economics
Research profile
author of:
- High-Dimensional Sparse Multivariate Stochastic Volatility Models (RePEc:arx:papers:2201.08584)
by Benjamin Poignard & Manabu Asai - Factor multivariate stochastic volatility models of high dimension (RePEc:arx:papers:2406.19033)
by Benjamin Poignard & Manabu Asai - Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294)
by Manabu Asai & Mike K. P. So - High‐dimensional sparse multivariate stochastic volatility models (RePEc:bla:jtsera:v:44:y:2023:i:1:p:4-22)
by Benjamin Poignard & Manabu Asai - Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates (RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2)
by Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E. - Multivariate Hyper-Rotated GARCH-BEKK (RePEc:bpj:jtsmet:v:14:y:2022:i:2:p:175-198:n:3)
by Asai Manabu & McAleer Michael - Realized BEKK-CAW Models (RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1)
by Asai Manabu & So Mike K. P. - Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes (RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:26:n:2)
by Asai Manabu & So Mike K.P. - Modelling and Forecasting Noisy Realized Volatility (RePEc:cbt:econwp:10/21)
by Manuabu Asai & Michael McAleer & Marcelo C. Medeiros - Block Structure Multivariate Stochastic Volatility Models (RePEc:cbt:econwp:10/24)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Asymmetry and Long Memory in Volatility Modelling (RePEc:cbt:econwp:10/60)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Alternative Asymmetric Stochastic Volatility Models (RePEc:cbt:econwp:10/70)
by Manabu Asai & Michael McAleer - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:cbt:econwp:10/76)
by Manabu Asai & Michael McAleer - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:cbt:econwp:12/04)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance (RePEc:cbt:econwp:14/10)
by Manabu Asai & Michael McAleer - 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 (RePEc:cfi:fseres:cf094)
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai - Alternative Asymmetric Stochastic Volatility Models (RePEc:cfi:fseres:cf166)
by Manabu Asai & Michael McAleer - Asymmetry and Leverage in Realized Volatility (RePEc:cfi:fseres:cf167)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:cfi:fseres:cf168)
by Manabu Asai & Michael McAleer - Multivariate Stochastic Volatility (RePEc:eab:microe:22058)
by Manabu Asai & Michael McAleer & Jun Yu - Non-trading day effects in asymmetric conditional and stochastic volatility models (RePEc:ect:emjrnl:v:10:y:2007:i:1:p:113-123)
by Manabu Asai & Michael McAleer - Multivariate stochastic volatility, leverage and news impact surfaces (RePEc:ect:emjrnl:v:12:y:2009:i:2:p:292-309)
by Manabu Asai & Michael McAleer - Matrix exponential stochastic volatility with cross leverage (RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350)
by Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu - Modelling and forecasting noisy realized volatility (RePEc:eee:csdana:v:56:y:2012:i:1:p:217-230)
by Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C. - Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil (RePEc:eee:ecofin:v:25:y:2013:i:c:p:202-213)
by Asai, Manabu & Brugal, Ivan - Stress testing correlation matrices for risk management (RePEc:eee:ecofin:v:26:y:2013:i:c:p:310-322)
by So, Mike K.P. & Wong, Jerry & Asai, Manabu - The structure of dynamic correlations in multivariate stochastic volatility models (RePEc:eee:econom:v:150:y:2009:i:2:p:182-192)
by Asai, Manabu & McAleer, Michael - Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (RePEc:eee:econom:v:187:y:2015:i:2:p:436-446)
by Asai, Manabu & McAleer, Michael - Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (RePEc:eee:econom:v:189:y:2015:i:2:p:251-262)
by Asai, Manabu & McAleer, Michael - Realized stochastic volatility with general asymmetry and long memory (RePEc:eee:econom:v:199:y:2017:i:2:p:202-212)
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael - Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (RePEc:eee:econom:v:227:y:2022:i:1:p:285-304)
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael - Realized stochastic volatility models with generalized Gegenbauer long memory (RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54)
by Asai, Manabu & McAleer, Michael & Peiris, Shelton - Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application (RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38)
by Asai, Manabu - Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models (RePEc:eee:empfin:v:15:y:2008:i:2:p:332-341)
by Asai, Manabu - A Portfolio Index GARCH model (RePEc:eee:intfor:v:24:y:2008:i:3:p:449-461)
by Asai, Manabu & McAleer, Michael - Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948)
by Asai, Manabu & Gupta, Rangan & McAleer, Michael - Portfolio single index (PSI) multivariate conditional and stochastic volatility models (RePEc:eee:matcom:v:78:y:2008:i:2:p:209-214)
by Asai, Manabu & McAleer, Michael & de Veiga, Bernardo - Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (RePEc:eee:matcom:v:79:y:2009:i:8:p:2579-2596)
by Asai, Manabu - Forecasting Value-at-Risk using block structure multivariate stochastic volatility models (RePEc:eee:reveco:v:40:y:2015:i:c:p:40-50)
by Asai, Manabu & Caporin, Massimiliano & McAleer, Michael - Realized Stochastic Volatility with General Asymmetry and Long Memory (RePEc:ems:eureir:100161)
by Asai, M. & Chang, C-L. & McAleer, M.J. - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory (RePEc:ems:eureir:102576)
by Asai, M. & McAleer, M.J. & Peiris, S. - Bayesian Analysis of Realized Matrix-Exponential GARCH Models (RePEc:ems:eureir:104259)
by Asai, M. & McAleer, M.J. - Cointegrated Dynamics for A Generalized Long Memory Process (RePEc:ems:eureir:110018)
by Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E. - Asymptotic Theory for Rotated Multivariate GARCH Models (RePEc:ems:eureir:111553)
by Asai, M. & Chang, C-L. & McAleer, M.J. & Pauwels, L. - The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures (RePEc:ems:eureir:115614)
by Asai, M. & Gupta, R. & McAleer, M.J. - Asymmetry and leverage in realized volatility (RePEc:ems:eureir:13904)
by Asai, M. & McAleer, M.J. & Medeiros, M.C. - Block Structure Multivariate Stochastic Volatility Models (RePEc:ems:eureir:17523)
by Asai, M. & Caporin, M. - Asymmetry and Long Memory in Volatility Modelling (RePEc:ems:eureir:20978)
by Asai, M. & McAleer, M.J. & Medeiros, M.C. - Alternative Asymmetric Stochastic Volatility Models (RePEc:ems:eureir:21730)
by Asai, M. & McAleer, M.J. - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:ems:eureir:21949)
by Asai, M. & McAleer, M.J. - Modelling and Forecasting Noisy Realized Volatility (RePEc:ems:eureir:22284)
by Asai, M. & McAleer, M.J. & Medeiros, M. - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:ems:eureir:31985)
by Asai, M. & Caporin, M. & McAleer, M.J. - The Impact of Jumps and Leverage in Forecasting Co-Volatility (RePEc:ems:eureir:78068)
by Asai, M. & McAleer, M.J. - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models (RePEc:ems:eureir:93114)
by Peiris, S. & Asai, M. & McAleer, M.J. - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics (RePEc:ems:eureir:93333)
by Asai, M. & McAleer, M.J. - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes (RePEc:ems:eureir:93334)
by Asai, M. & McAleer, M.J. - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers (RePEc:ems:eureir:98648)
by Asai, M. & Chang, C-L. & McAleer, M.J. - Forecasting the Volatility of Nikkei 225 Futures (RePEc:ems:eureir:99517)
by Asai, M. & McAleer, M.J. - Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter (RePEc:gam:jecnmx:v:11:y:2023:i:3:p:18-:d:1207445)
by Manabu Asai - Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited (RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417)
by M. Shelton Peiris & Manabu Asai - Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models (RePEc:gam:jecnmx:v:9:y:2021:i:2:p:21-:d:548851)
by Manabu Asai & Chia-Lin Chang & Michael McAleer & Laurent Pauwels - The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures (RePEc:gam:jeners:v:12:y:2019:i:17:p:3379-:d:263215)
by Manabu Asai & Rangan Gupta & Michael McAleer - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models (RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610)
by Shelton Peiris & Manabu Asai & Michael McAleer - Comparison of MCMC Methods for Estimating Stochastic Volatility Models (RePEc:kap:compec:v:25:y:2005:i:3:p:281-301)
by Manabu Asai - On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations (RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10034-0)
by Cathy W. S. Chen & Hong Than-Thi & Manabu Asai - Bayesian Analysis of Realized Matrix-Exponential GARCH Models (RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6)
by Manabu Asai & Michael McAleer - Asymmetry and Long Memory in Volatility Modelling (RePEc:kyo:wpaper:726)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Alternative Asymmetric Stochastic Volatility Models (RePEc:kyo:wpaper:739)
by Manabu Asai & Michael McAleer - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:kyo:wpaper:747)
by Manabu Asai & Michael McAleer - Modelling and Forecasting Noisy Realized Volatility (RePEc:kyo:wpaper:758)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:kyo:wpaper:812)
by Michael McAleer & Manabu Asai & Massimiliano Caporin - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing (RePEc:kyo:wpaper:840)
by Manabu Asai & Michael McAleer - A Fractionally Integrated Wishart Stochastic Volatility Model (RePEc:kyo:wpaper:848)
by Manabu Asai & Michael McAleer - A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models (RePEc:osk:wpaper:2002)
by Benjamin Poignard & Manabu Asaiz - Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix (RePEc:osk:wpaper:2103)
by Benjamin Poignard & Manabu Asai - Estimation of high-dimensional vector autoregression via sparse precision matrix (RePEc:oup:emjrnl:v:26:y:2023:i:2:p:307-326.)
by Benjamin Poignard & Manabu Asai - Asymmetry and Long Memory in Volatility Modeling (RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures (RePEc:pre:wpaper:201925)
by Manabu Asai & Rangan Gupta & Michael McAleer - Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks (RePEc:pre:wpaper:201951)
by Manabu Asai & Rangan Gupta & Michael McAleer - Asymptotic Theory for Rotated Multivariate GARCH Models (RePEc:syb:wpbsba:2123/20178)
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael & Pauwels, Laurent - Time series evidence on a new Keynesian theory of the output-inflation trade-off (RePEc:taf:apeclt:v:6:y:1999:i:9:p:539-541)
by Manabu Asai - Unknown item RePEc:taf:apfiec:v:18:y:2008:i:16:p:1333-1341 (article)
- Unknown item RePEc:taf:apfiec:v:20:y:2010:i:13:p:1041-1049 (article)
- Unknown item RePEc:taf:apfiec:v:22:y:2012:i:6:p:461-470 (article)
- Dynamic Asymmetric Leverage in Stochastic Volatility Models (RePEc:taf:emetrv:v:24:y:2005:i:3:p:317-332)
by Manabu Asai & Michael McAleer - Multivariate Stochastic Volatility: A Review (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175)
by Manabu Asai & Michael McAleer & Jun Yu - Asymmetric Multivariate Stochastic Volatility (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:453-473)
by Manabu Asai & Michael McAleer - Alternative Asymmetric Stochastic Volatility Models (RePEc:taf:emetrv:v:30:y:2011:i:5:p:548-564)
by Manabu Asai & Michael McAleer - A fractionally integrated Wishart stochastic volatility model (RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59)
by Manabu Asai & Michael McAleer - The impact of jumps and leverage in forecasting covolatility (RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:638-650)
by Manabu Asai & Michael McAleer - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing (RePEc:tin:wpaper:20130003)
by Manabu Asai & Michael McAleer - A Fractionally Integrated Wishart Stochastic Volatility Model (RePEc:tin:wpaper:20130025)
by Manabu Asai & Michael McAleer - Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models (RePEc:tin:wpaper:20130073)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance (RePEc:tin:wpaper:20140037)
by Manabu Asai & Michael McAleer - The Impact of Jumps and Leverage in Forecasting Co-Volatility (RePEc:tin:wpaper:20150018)
by Manabu Asai & Michael McAleer - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models (RePEc:tin:wpaper:20160044)
by Shelton Peiris & Manabu Asai & Michael McAleer - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics (RePEc:tin:wpaper:20160065)
by Manabu Asai & Michael McAleer - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes (RePEc:tin:wpaper:20160071)
by Manabu Asai & Michael McAleer - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers (RePEc:tin:wpaper:20160076)
by Manabu Asai & Chia-Lin Chang & Michael McAleer - Forecasting the Volatility of Nikkei 225 Futures (RePEc:tin:wpaper:20170017)
by Manabu Asai & Michael McAleer - Realized Stochastic Volatility with General Asymmetry and Long Memory (RePEc:tin:wpaper:20170038)
by Manabu Asai & Chia-Lin Chang & Michael McAleer - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory (RePEc:tin:wpaper:20170105)
by Manabu Asai & Michael McAleer & Shelton Peiris - Bayesian Analysis of Realized Matrix-Exponential GARCH Models (RePEc:tin:wpaper:20180005)
by Manabu Asai & Michael McAleer - Multivariate stochastic volatility (RePEc:tky:fseres:2007cf488)
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai - Alternative Asymmetric Stochastic Volatility Models (RePEc:tky:fseres:2009cf655)
by Manabu Asai & Michael McAleer - Asymmetry and Leverage in Realized Volatility (RePEc:tky:fseres:2009cf656)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:tky:fseres:2009cf657)
by Manabu Asai & Michael McAleer - Modelling and Forecasting Noisy Realized Volatility (RePEc:tky:fseres:2009cf669)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Block Structure Multivariate Stochastic Volatility Models (RePEc:tky:fseres:2009cf699)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Matrix Exponential Stochastic Volatility with Cross Leverage (RePEc:tky:fseres:2011cf812)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Matrix Exponential Stochastic Volatility with Cross Leverage (RePEc:tky:fseres:2013cf904)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Matrix Exponential Stochastic Volatility with Cross Leverage (RePEc:tky:fseres:2014cf932)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Matrix Exponential Stochastic Volatility with Cross Leverage (RePEc:tky:fseres:2014cf938)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Asymmetric Multivariate Stochastic Volatility (RePEc:ubi:deawps:12)
by Manabu Asai & Michael McAleer - Modelling and Forecasting Noisy Realized Volatility (RePEc:ucm:doicae:1109)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Asymmetry and Long Memory in Volatility Modelling (RePEc:ucm:doicae:1129)
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - Dynamic Conditional Correlations for Asymmetric Processes (RePEc:ucm:doicae:1130)
by Manabu Asai & Michael McAleer - Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models (RePEc:ucm:doicae:1203)
by Manabu Asai & Massimiliano Caporin & Michael McAleer - Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing (RePEc:ucm:doicae:1302)
by Manabu Asai & Michael McAleer - A Fractionally Integrated Wishart Stochastic Volatility Model (RePEc:ucm:doicae:1307)
by Manabu Asai & Michael McAleer - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance (RePEc:ucm:doicae:1405)
by Manabu Asai & Michael McAleer - The Impact of Jumps and Leverage in Forecasting Co-Volatility (RePEc:ucm:doicae:1502)
by Manabu Asai & Michael McAleer - Estimating and forecasting generalized fractional Long memory stochastic volatility models (RePEc:ucm:doicae:1608)
by Shelton Peiris & Manabu Asai & Michael McAleer - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes (RePEc:ucm:doicae:1614)
by Manabu Asai & Michael McAleer - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers (RePEc:ucm:doicae:1615)
by Manabu Asai & Chia-Lin Chang & Michael McAleer - Forecasting the volatility of Nikkei 225 futures (RePEc:ucm:doicae:1707)
by Manabu Asai & Michael McAleer - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory (RePEc:ucm:doicae:1726)
by Manabu Asai & Shelton Peiris & Michael McAleer - Bayesian analysis of realized matrix-exponential GARCH models (RePEc:ucm:doicae:1804)
by Manabu Asai & Michael McAleer - Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates (RePEc:ucm:doicae:1822)
by Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen - Asymptotic Theory for Rotated Multivariate GARCH Models (RePEc:ucm:doicae:1827)
by Manabu Asai & Chia-Lin Chang & Michael McAleer & Laurent Pauwels - The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures (RePEc:ucm:doicae:1912)
by Manabu Asai & Rangan Gupta & Michael McAleer - Bayesian non‐linear quantile effects on modelling realized kernels (RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995)
by Manh Cuong Dong & Cathy W. S. Chen & Manabu Asai - Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (RePEc:wly:jforec:v:32:y:2013:i:5:p:469-480)
by Manabu Asai - Stochastic Multivariate Mixture Covariance Model (RePEc:wly:jforec:v:36:y:2017:i:2:p:139-155)
by Mike K. P. So & Raymond W. M. Li & Manabu Asai & Yue Jiang - Forecasting the volatility of Nikkei 225 futures (RePEc:wly:jfutmk:v:37:y:2017:i:11:p:1141-1152)
by Manabu Asai & Michael McAleer