Manabu Asai

Soka University - Faculty of Economics

1-236 Tangi-cho

Hachioji (city)

Tokyo, 192-8577

Japan

http://www.soka.ac.jp/en/#a01

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 16,981

SSRN RANKINGS

Top 16,981

in Total Papers Downloads

2,158

CITATIONS
Rank 17,421

SSRN RANKINGS

Top 17,421

in Total Papers Citations

19

Scholarly Papers (9)

1.

Dynamic Conditional Correlations for Asymmetric Processes

Number of pages: 26 Posted: 02 Sep 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 413 (52,651)

Abstract:

Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails

2.

Asymmetry and Leverage in Realized Volatility

Number of pages: 31 Posted: 02 Sep 2009
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 410 (53,105)

Abstract:

Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts

3.

Modelling and Forecasting Noisy Realized Volatility

Number of pages: 47 Posted: 21 Sep 2009
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 402 (54,063)

Abstract:

realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit

4.

Alternative Asymmetric Stochastic Volatility Models

Number of pages: 25 Posted: 02 Sep 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 333 (68,322)
Citation 9

Abstract:

Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling

5.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 302 (76,885)
Citation 6

Abstract:

block structures; multivariate stochastic volatility; curse of dimensionality

6.

Stochastic Covariance Models

Number of pages: 53 Posted: 08 Sep 2010
Manabu Asai and Mike K. P. So
Soka University - Faculty of Economics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 142 (150,900)
Citation 1

Abstract:

Covariance prediction, Dynamic correlation, Nonlinear time series, Long memory, Stochastic covariance filter, Threshold models

7.

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range

Number of pages: 30 Posted: 19 Sep 2012
Manabu Asai
Soka University - Faculty of Economics
Downloads 64 (266,069)

Abstract:

Dynamic correlations, Long Memory, Range, Leverage effects, Multivariate GARCH

8.

Non-Trading Day Effects in Asymmetric Conditional and Stochastic Volatility Models

Econometrics Journal, Vol. 10, No. 1, pp. 113-123, March 2007
Number of pages: 11 Posted: 08 Mar 2007
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 29 (382,007)
Citation 2

Abstract:

9.

Multivariate Stochastic Volatility, Leverage and News Impact Surfaces

Econometrics Journal, Vol. 12, Issue 2, pp. 292-309, July 2009
Number of pages: 18 Posted: 08 Oct 2009
Manabu Asai and Michael McAleer
Soka University - Faculty of Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (513,789)
Citation 1

Abstract: