Personal Details
First Name: Manabu
Middle Name:
Last Name: Asai
Suffix:
RePEc Short-ID: pas73
Email: [This author has chosen not to make the email address public]
Homepage:
http://home.soka.ac.jp/~m-asai/
Postal Address:
Phone:
Affiliation
(in no particular order)
Works
| Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields |
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Working papers
- Manabu Asai & Michael McAleer, 2009.
"Alternative Asymmetric Stochastic Volatility Models,"
CIRJE F-Series
CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
- 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!]
- 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!]
- 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!]
Other versions: - Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"Multivariate stochastic volatility,"
CIRJE F-Series
CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
- Manabu Asai & Michael McAleer, 2005.
"Asymmetric Multivariate Stochastic Volatility,"
DEA Working Papers
12, Universitat de les Illes Balears, Departament d'EconomÃa Aplicada.
[Downloadable!]
Articles
- 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)
- 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)
- 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)
- 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)
- 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)
- Asai, Manabu & McAleer, Michael, 2008.
"A Portfolio Index GARCH model,"
International Journal of Forecasting,
Elsevier, vol. 24(3), pages 449-461.
[Downloadable!] (restricted)
- 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)
- Manabu Asai, 2005.
"Comparison of MCMC Methods for Estimating Stochastic Volatility Models,"
Computational Economics,
Springer, vol. 25(3), pages 281-301, June.
[Downloadable!] (restricted)
- 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)
NEP Fields
7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
- NEP-ECM: Econometrics (6) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-19 2009-09-26 Author is listed
- NEP-ETS: Econometric Time Series (5) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-26 Author is listed
- NEP-FMK: Financial Markets (2) 2009-03-28 2009-09-19 Author is listed
- NEP-FOR: Forecasting (2) 2009-09-19 2009-09-26 Author is listed
- NEP-ICT: Information & Communication Technologies (1) 2006-04-08
- NEP-MST: Market Microstructure (1) 2009-09-26
- NEP-ORE: Operations Research (1) 2009-09-19
- NEP-PKE: Post Keynesian Economics (1) 2009-09-26
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This page was last updated on 2009-11-25.
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