Information about:
Manabu Asai

Other registered authors

Email: [This author has chosen not to make the email address public]
Homepage: http://home.soka.ac.jp/~m-asai/
Postal Address:
Phone:

Affiliation

• Faculty of Economics
  Soka University

  Homepage: http://www.soka.ac.jp/dept_grad/dept/guide/economics/
  Email:
  Phone:
  Fax:
  Postal:
  Handle: RePEc:edi:fesokjp (registered authors at this institution)

Working papers

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. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

4. 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:
   • 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!]

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

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

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)

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, 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)

5. 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)

6. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461. [Downloadable!] (restricted)

7. 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)

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

9. 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)

1. 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
2. NEP-ETS: Econometric Time Series (5) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-26 Author is listed
3. NEP-FMK: Financial Markets (2) 2009-03-28 2009-09-19 Author is listed
4. NEP-FOR: Forecasting (2) 2009-09-19 2009-09-26 Author is listed
5. NEP-ICT: Information & Communication Technologies (1) 2006-04-08
6. NEP-MST: Market Microstructure (1) 2009-09-26
7. NEP-ORE: Operations Research (1) 2009-09-19
8. NEP-PKE: Post Keynesian Economics (1) 2009-09-26

This page was last updated on 2009-11-25.