Manabu Asai
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Soka University
→ Faculty of Economics
Research profile
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Asymmetric Multivariate Stochastic Volatility
by Manabu Asai & Michael McAleer

"Multivariate stochastic volatility"
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai

Comparison of MCMC Methods for Estimating Stochastic Volatility Models
by Manabu Asai

Nontrading day effects in asymmetric conditional and stochastic volatility models
by Manabu Asai & Michael McAleer

Autoregressive stochastic volatility models with heavytailed distributions: A comparison with multifactor volatility models
by Asai, Manabu

The relationship between stock return volatility and trading volume: the case of the Philippines
by Manabu Asai & Angelo Unite

A Portfolio Index GARCH model
by Asai, Manabu & McAleer, Michael

Multivariate stochastic volatility, leverage and news impact surfaces
by Manabu Asai & Michael McAleer

"Alternative Asymmetric Stochastic Volatility Models"
by Manabu Asai & Michael McAleer

"Dynamic Conditional Correlations for Asymmetric Processes"
by Manabu Asai & Michael McAleer

"Asymmetry and Leverage in Realized Volatility"
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

The structure of dynamic correlations in multivariate stochastic volatility models
by Asai, Manabu & McAleer, Michael

"Modelling and Forecasting Noisy Realized Volatility"
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

"Block Structure Multivariate Stochastic Volatility Models"
by Manabu Asai & Massimiliano Caporin & Michael McAleer

Modelling and Forecasting Noisy Realized Volatility
by Manuabu Asai & Michael McAleer & Marcelo C. Medeiros

Block Structure Multivariate Stochastic Volatility Models
by Manabu Asai & Massimiliano Caporin & Michael McAleer

Asymmetry and Leverage in Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

Dynamic Conditional Correlations for Asymmetric Processes
by Manabu Asai & Michael McAleer

Asymmetry and Long Memory in Volatility Modelling
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets
by Manabu Asai & Angelo Unite

Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer

Asymmetry and Long Memory in Volatility Modelling
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

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, JensPeter Kreiss and T. Mikosch), 365400. SpringerVerlag: New York. April 2009. )
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai

Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer

Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer

Dynamic Conditional Correlations for Asymmetric Processes
by Manabu Asai & Michael McAleer

Dynamic Conditional Correlations for Asymmetric Processes
by Manabu Asai & Michael McAleer

Modelling and Forecasting Noisy Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

Modelling and Forecasting Noisy Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

Asymmetry and Long Memory in Volatility Modelling
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

Dynamic Conditional Correlations for Asymmetric Processes
by Manabu Asai & Michael McAleer

Dynamic Asymmetric Leverage in Stochastic Volatility Models
by Manabu Asai & Michael McAleer

Time series evidence on a new Keynesian theory of the outputinflation tradeoff
by Manabu Asai

Modelling and forecasting noisy realized volatility
by Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C.

Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer

Asymmetric Multivariate Stochastic Volatility
by Manabu Asai & Michael McAleer

Multivariate Stochastic Volatility: A Review
by Manabu Asai & Michael McAleer & Jun Yu

"Matrix Exponential Stochastic Volatility with Cross Leverage"
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai

Multivariate Stochastic Volatility
by Manabu Asai & Michael McAleer & Jun Yu

Forecasting ValueatRisk Using Block Structure Multivariate Stochastic Volatility Models
by Manabu Asai & Massimiliano Caporin & Michael McAleer

Forecasting ValueatRisk Using Block Structure Multivariate Stochastic Volatility Models
by Manabu Asai & Massimiliano Caporin & Michael McAleer

Forecasting volatility using range data: analysis for emerging equity markets in Latin America
by Manabu Asai & Iván Brugal

Forecasting ValueatRisk Using Block Structure Multivariate Stochastic Volatility Models
by Michael McAleer & Manabu Asai & Massimiliano Caporin

Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
by Manabu Asai

"Matrix Exponential Stochastic Volatility with Cross Leverage"
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai

Asymmetry and Long Memory in Volatility Modeling
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros

Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
by Asai, Manabu & Brugal, Ivan

Asymmetry and leverage in realized volatility
by Asai, M. & McAleer, M. J. & Medeiros, M. C.

Block Structure Multivariate Stochastic Volatility Models
by Asai, M. & Caporin, M.

Asymmetry and Long Memory in Volatility Modelling
by Asai, M. & McAleer, M. J. & Medeiros, M. C.

Alternative Asymmetric Stochastic Volatility Models
by Asai, M. & McAleer, M. J.

Dynamic Conditional Correlations for Asymmetric Processes
by Asai, M. & McAleer, M. J.

Modelling and Forecasting Noisy Realized Volatility
by Asai, M. & McAleer, M. J. & Medeiros, M.

Forecasting ValueatRisk Using Block Structure Multivariate Stochastic Volatility Models
by Asai, M. & Caporin, M. & McAleer, M. J.

Stress testing correlation matrices for risk management
by So, Mike K. P. & Wong, Jerry & Asai, Manabu

Forecasting CoVolatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

Portfolio single index (PSI) multivariate conditional and stochastic volatility models
by Asai, Manabu & McAleer, Michael & de Veiga, Bernardo

Bayesian analysis of stochastic volatility models with mixtureofnormal distributions
by Asai, Manabu

Forecasting CoVolatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

"Matrix Exponential Stochastic Volatility with Cross Leverage"
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai

"Matrix Exponential Stochastic Volatility with Cross Leverage"
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai

Long Memory and Asymmetry for MatrixExponential Dynamic Correlation Processes
by Asai Manabu & So Mike K. P.

The Impact of Jumps and Leverage in Forecasting CoVolatility
by Manabu Asai & Michael McAleer

A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

Forecasting CoVolatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

The Impact of Jumps and Leverage in Forecasting CoVolatility
by Manabu Asai & Michael McAleer

Forecasting ValueatRisk using Block Structure Multivariate Stochastic Volatility Models
by Manabu Asai & Massimiliano Caporin & Michael McAleer

The Impact of Jumps and Leverage in Forecasting CoVolatility
by Asai, M. & McAleer, M. J.

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
by Asai, Manabu & McAleer, Michael

Forecasting covolatilities via factor models with asymmetry and long memory in realized covariance
by Asai, Manabu & McAleer, Michael

Forecasting ValueatRisk using block structure multivariate stochastic volatility models
by Asai, Manabu & Caporin, Massimiliano & McAleer, Michael

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Peiris, S. & Asai, M. & McAleer, M. J.

Estimating and forecasting generalized fractional Long memory stochastic volatility models
by Shelton Peiris & Manabu Asai & Michael McAleer

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Shelton Peiris & Manabu Asai & Michael McAleer

Matrix exponential stochastic volatility with cross leverage
by Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
by Asai, M. & McAleer, M. J.

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Asai, M. & McAleer, M. J.

Realized MatrixExponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & ChiaLin Chang & Michael McAleer

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
by Manabu Asai & Michael McAleer

Realized MatrixExponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & ChiaLin Chang & Michael McAleer

Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
by M. Shelton Peiris & Manabu Asai

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer

Realized MatrixExponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Asai, M. & Chang, C.L. & McAleer, M. J.

Forecasting the Volatility of Nikkei 225 Futures
by Manabu Asai & Michael McAleer

Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer

Forecasting the Volatility of Nikkei 225 Futures
by Asai, M. & McAleer, M. J.

Realized Stochastic Volatility with General Asymmetry and Long Memory
by Asai, M. & Chang, C.L. & McAleer, M. J.

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
by Asai, M. & McAleer, M. J. & Peiris, S.

Realized stochastic volatility with general asymmetry and long memory
by Asai, Manabu & Chang, ChiaLin & McAleer, Michael

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
by Manabu Asai & Michael McAleer & Shelton Peiris

A fractionally integrated Wishart stochastic volatility model
by Manabu Asai & Michael McAleer

Realized Stochastic Volatility with General Asymmetry and Long Memory
by Manabu Asai & ChiaLin Chang & Michael McAleer

Stochastic Multivariate Mixture Covariance Model
by Mike K. P. So & Raymond W. M. Li & Manabu Asai & Yue Jiang

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
by Manabu Asai & Shelton Peiris & Michael McAleer

Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer

Bayesian Analysis of Realized MatrixExponential GARCH Models
by Asai, M. & McAleer, M. J.

Bayesian Analysis of Realized MatrixExponential GARCH Models
by Manabu Asai & Michael McAleer

Bayesian analysis of realized matrixexponential GARCH models
by Manabu Asai & Michael McAleer

The impact of jumps and leverage in forecasting covolatility
by Manabu Asai & Michael McAleer

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Shelton Peiris & Manabu Asai & Michael McAleer

Cointegrated Dynamics for A Generalized Long Memory Process
by Asai, M. & Peiris, S. & McAleer, M. J. & Allen, D. E.

Asymptotic Theory for Rotated Multivariate GARCH Models
by Asai, M. & Chang, C.L. & McAleer, M. J. & Pauwels, L.

The Impact of Jumps and Leverage in Forecasting the CoVolatility of Oil and Gold Futures
by Asai, M. & Gupta, R. & McAleer, M. J.

Asymptotic Theory for Rotated Multivariate GARCH Models
by Manabu Asai & ChiaLin Chang & Michael McAleer & Laurent Pauwels

The Impact of jumps and leverage in forecasting the covolatility of oil and gold futures
by Manabu Asai & Rangan Gupta & Michael McAleer

Asymptotic Theory for Rotated Multivariate GARCH Models
by Asai, Manabu & Chang, ChiaLin & McAleer, Michael & Pauwels, Laurent

The Impact of Jumps and Leverage in Forecasting the CoVolatility of Oil and Gold Futures
by Manabu Asai & Rangan Gupta & Michael McAleer

Forecasting Volatility and Covolatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
by Manabu Asai & Rangan Gupta & Michael McAleer

Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
by Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen

The Impact of Jumps and Leverage in Forecasting the CoVolatility of Oil and Gold Futures
by Manabu Asai & Rangan Gupta & Michael McAleer

A Penalised OLS Framework for HighDimensional Multivariate Stochastic Volatility Models
by Benjamin Poignard & Manabu Asaiz

Forecasting volatility and covolatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
by Asai, Manabu & Gupta, Rangan & McAleer, Michael

Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
by Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E.

Realized stochastic volatility models with generalized Gegenbauer long memory
by Asai, Manabu & McAleer, Michael & Peiris, Shelton