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Asai, Manabu's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,853 |
Total
Citations
19 |
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1.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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398
(34,654)
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Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails
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2.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute Medeiros, Marcelo C.
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
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376
(37,145)
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Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts
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3.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute Medeiros, Marcelo C.
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
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337
(42,482)
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1
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realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit
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4.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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320
(45,144)
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8
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Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling
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5.
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Asai, Manabu
Soka University - Faculty of Economics Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno" McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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244
(61,373)
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6
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block structures; multivariate stochastic volatility; curse of dimensionality
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6.
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Asai, Manabu
Soka University - Faculty of Economics So, Mike K. P.
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
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111
(126,657)
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Covariance prediction, Dynamic correlation, Nonlinear time series, Long memory, Stochastic covariance filter, Threshold models
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7.
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Asai, Manabu
Soka University - Faculty of Economics
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36
(230,666)
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Dynamic correlations, Long Memory, Range, Leverage effects, Multivariate GARCH
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8.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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29
(248,245)
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2
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9.
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Asai, Manabu
Soka University - Faculty of Economics McAleer, Michael
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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2
(338,857)
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2
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Records 1 -
9
of 9 matches
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1
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