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Publications

by members of

Faculty of Economics
Soka University

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

    2009

  1. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  3. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Asymmetry and Leverage in Realized Volatility," CIRJE F-Series CIRJE-F-656, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  4. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    2008

  1. Asai, M. & McAleer, M. & Medeiros, M.C., 2008. "Asymmetry and leverage in realized volatility," Econometric Institute Report EI 2008-31 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    2007

  1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    2005

  1. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

Journal articles

    2009

  1. Manabu Asai & Michael McAleer, 2009. "Multivariate stochastic volatility, leverage and news impact surfaces," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 292-309, 07. [Downloadable!] (restricted)
  2. Asai, Manabu & McAleer, Michael, 2009. "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June. [Downloadable!] (restricted)

    2008

  1. Manabu Asai & Ulziijargal Dashzeveg, 2008. "A distribution-free test for symmetry with an application to S&P index returns," Applied Economics Letters, Taylor and Francis Journals, vol. 15(6), pages 461-464. [Downloadable!] (restricted)
  2. Asai, Manabu, 2008. "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 332-341, March. [Downloadable!] (restricted)
  3. Manabu Asai & Angelo Unite, 2008. "The relationship between stock return volatility and trading volume: the case of the Philippines," Applied Financial Economics, Taylor and Francis Journals, vol. 18(16), pages 1333-1341. [Downloadable!] (restricted)
  4. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461. [Downloadable!] (restricted)

    2007

  1. Manabu Asai & Michael McAleer, 2007. "Non-trading day effects in asymmetric conditional and stochastic volatility models," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 113-123, 03. [Downloadable!] (restricted)

    2005

  1. Manabu Asai, 2005. "Comparison of MCMC Methods for Estimating Stochastic Volatility Models," Computational Economics, Springer, vol. 25(3), pages 281-301, June. [Downloadable!] (restricted)

    1999

  1. Asai, Manabu, 1999. "Time Series Evidence on a New Keynesian Theory of the Output-Inflation Trade-Off," Applied Economics Letters, Taylor and Francis Journals, vol. 6(9), pages 539-41, September. [Downloadable!] (restricted)
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This page was last updated on 2009-11-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.