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Manabu Asai

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Personal Details

First Name: Manabu
Middle Name:
Last Name: Asai
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RePEc Short-ID: pas73

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

Faculty of Economics
Soka University
Location: Japan
Homepage: http://keizai.soka.ac.jp/
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Handle: RePEc:edi:fesokjp (more details at EDIRC)

Works

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Working papers

  1. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE 2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  4. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2011. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-812, CIRJE, Faculty of Economics, University of Tokyo.
  6. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," Working Papers in Economics 10/60, University of Canterbury, Department of Economics and Finance.
  7. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
  8. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
  9. 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.
  10. 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.
  11. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo.
  12. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  13. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
  14. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.

Articles

  1. Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, 08.
  2. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
  3. So, Mike K.P. & Wong, Jerry & Asai, Manabu, 2013. "Stress testing correlation matrices for risk management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 310-322.
  4. Manabu Asai & Iv�n Brugal, 2012. "Forecasting volatility using range data: analysis for emerging equity markets in Latin America," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 461-470, March.
  5. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012. "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 495-512, June.
  6. Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  7. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564.
  8. Manabu Asai & Angelo Unite, 2010. "General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(13), pages 1041-1049.
  9. 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.
  10. 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.
  11. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
  12. Manabu Asai & Angelo Unite, 2008. "The relationship between stock return volatility and trading volume: the case of the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 18(16), pages 1333-1341.
  13. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
  14. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461.
  15. 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.
  16. 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.
  17. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
  18. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  19. Manabu Asai & Michael McAleer, 2005. "Dynamic Asymmetric Leverage in Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 317-332.
  20. Manabu Asai, 2005. "Comparison of MCMC Methods for Estimating Stochastic Volatility Models," Computational Economics, Society for Computational Economics, vol. 25(3), pages 281-301, June.
  21. Manabu Asai, 1999. "Time series evidence on a new Keynesian theory of the output-inflation trade-off," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 539-541.

NEP Fields

30 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2012-03-14 2013-06-16
  2. NEP-CBA: Central Banking (1) 2012-03-14
  3. NEP-ECM: Econometrics (15) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-19 2009-09-26 2010-01-10 2010-05-29 2010-05-29 2010-10-16 2012-03-14 2013-01-19 2013-02-16 2013-10-05 2014-04-05. Author is listed
  4. NEP-ETS: Econometric Time Series (21) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-26 2010-01-10 2010-05-29 2010-05-29 2010-10-16 2010-11-27 2010-12-23 2011-01-03 2011-02-12 2011-04-23 2012-03-14 2012-04-17 2013-02-16 2013-06-16 2014-04-05 2014-04-11 2014-05-24. Author is listed
  5. NEP-FMK: Financial Markets (1) 2009-09-19
  6. NEP-FOR: Forecasting (14) 2009-09-19 2009-09-26 2010-05-29 2010-10-16 2010-12-23 2011-01-03 2011-02-12 2011-04-23 2012-03-14 2012-03-14 2012-04-17 2013-06-16 2014-04-05 2014-04-11. Author is listed
  7. NEP-GER: German Papers (1) 2014-04-11
  8. NEP-ICT: Information & Communication Technologies (1) 2006-04-08
  9. NEP-MST: Market Microstructure (4) 2009-09-26 2010-05-29 2011-02-12 2011-04-23
  10. NEP-ORE: Operations Research (12) 2009-09-19 2010-10-16 2012-03-14 2012-04-17 2013-01-19 2013-01-26 2013-02-16 2013-03-02 2013-06-16 2014-04-05 2014-04-11 2014-05-24. Author is listed
  11. NEP-RMG: Risk Management (5) 2010-10-16 2010-11-27 2012-03-14 2012-04-17 2013-06-16. Author is listed

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