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Publications

by alumni of

University of Tsukuba → Department of Social Systems and Management

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2024

  1. Benjamin Poignard & Manabu Asai, 2024, "Factor multivariate stochastic volatility models of high dimension," Papers, arXiv.org, number 2406.19033, Jun, revised Apr 2026.

2022

  1. Benjamin Poignard & Manabu Asai, 2022, "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers, arXiv.org, number 2201.08584, Jan, revised May 2022.

2021

  1. Benjamin Poignard & Manabu Asai, 2021, "Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-03, Apr.

2020

  1. Benjamin Poignard & Manabu Asaiz, 2020, "A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 20-02, Jan.

2019

  1. Asai, M. & Gupta, R. & McAleer, M.J., 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-16, Mar.
  2. Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 201951, Jul.

2018

  1. Asai, M. & McAleer, M.J., 2018, "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2018-005/III, Jan.
  2. Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E., 2018, "Cointegrated Dynamics for A Generalized Long Memory Process," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-32, Aug.
  3. Asai, M. & Chang, C-L. & McAleer, M.J. & Pauwels, L., 2018, "Asymptotic Theory for Rotated Multivariate GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-38, Oct.
  4. Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen, 2018, "Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-22, Sep.

2017

  1. Asai, M. & Chang, C-L. & McAleer, M.J., 2017, "Realized Stochastic Volatility with General Asymmetry and Long Memory," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-038/III, Apr.
  2. Asai, M. & McAleer, M.J. & Peiris, S., 2017, "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2017-29, Nov.
  3. Asai, M. & McAleer, M.J., 2017, "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-017/III, Jan.

2016

  1. Peiris, S. & Asai, M. & McAleer, M.J., 2016, "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-27, Jun.
  2. Asai, M. & McAleer, M.J., 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-34, Aug.
  3. Asai, M. & McAleer, M.J., 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-35, Sep.
  4. Asai, M. & Chang, C-L. & McAleer, M.J., 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-41, Sep.

2015

  1. Asai, M. & McAleer, M.J., 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-06, Feb.

2014

  1. Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/10, Mar.

2013

  1. Manabu Asai & Michael McAleer, 2013, "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers, Kyoto University, Institute of Economic Research, number 840, Jan.
  2. Manabu Asai & Michael McAleer, 2013, "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 848, Feb.

2012

  1. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/04, Mar.

2011

  1. Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2011, "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-812, Aug.

2010

  1. Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010, "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/21, May.
  2. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010, "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/24, May.
  3. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010, "Asymmetry and Long Memory in Volatility Modelling," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/60, Oct.
  4. Manabu Asai & Michael McAleer, 2010, "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/70, Nov.
  5. Manabu Asai & Michael McAleer, 2010, "Dynamic Conditional Correlations for Asymmetric Processes," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/76, Dec.

2009

  1. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Asymmetry and Leverage in Realized Volatility," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-167, Aug.

2007

  1. 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 and T. Mikosch), 365-400. Springer-Verlag: New Yo," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-094, May.

2006

  1. Manabu Asai & Michael McAleer & Jun Yu, 2006, "Multivariate Stochastic Volatility," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 22058, Jan.

2005

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

Journal articles

2026

  1. Asai, Manabu, 2026, "Maximum likelihood estimation for singular Wishart distributions," Statistics & Probability Letters, Elsevier, volume 229, issue C, DOI: 10.1016/j.spl.2025.110579.

2023

  1. Benjamin Poignard & Manabu Asai, 2023, "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 1, pages 4-22, January, DOI: 10.1111/jtsa.12647.
  2. Asai Manabu & So Mike K. P., 2023, "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, volume 15, issue 1, pages 49-77, January, DOI: 10.1515/jtse-2022-0009.
  3. Asai, Manabu, 2023, "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, volume 25, issue C, pages 23-38, DOI: 10.1016/j.ecosta.2022.01.004.
  4. Manabu Asai, 2023, "Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter," Econometrics, MDPI, volume 11, issue 3, pages 1-14, July.
  5. Benjamin Poignard & Manabu Asai, 2023, "Estimation of high-dimensional vector autoregression via sparse precision matrix," The Econometrics Journal, Royal Economic Society, volume 26, issue 2, pages 307-326.
  6. Manh Cuong Dong & Cathy W. S. Chen & Manabu Asai, 2023, "Bayesian non‐linear quantile effects on modelling realized kernels," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 28, issue 1, pages 981-995, January, DOI: 10.1002/ijfe.2459.

2022

  1. Asai Manabu & McAleer Michael, 2022, "Multivariate Hyper-Rotated GARCH-BEKK," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 2, pages 175-198, July, DOI: 10.1515/jtse-2021-0006.
  2. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022, "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 285-304, DOI: 10.1016/j.jeconom.2021.06.008.
  3. Manabu Asai & Michael McAleer, 2022, "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Computational Economics, Springer;Society for Computational Economics, volume 59, issue 1, pages 103-123, January, DOI: 10.1007/s10614-020-10074-6.

2021

  1. Manabu Asai & Mike K. P. So, 2021, "Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models," Journal of Time Series Analysis, Wiley Blackwell, volume 42, issue 3, pages 271-294, May, DOI: 10.1111/jtsa.12566.
  2. Manabu Asai & Chia-Lin Chang & Michael McAleer & Laurent Pauwels, 2021, "Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models," Econometrics, MDPI, volume 9, issue 2, pages 1-21, May.
  3. Cathy W. S. Chen & Hong Than-Thi & Manabu Asai, 2021, "On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations," Computational Economics, Springer;Society for Computational Economics, volume 58, issue 2, pages 413-433, August, DOI: 10.1007/s10614-020-10034-0.

2020

  1. Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E., 2020, "Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates," Journal of Time Series Econometrics, De Gruyter, volume 12, issue 1, pages 1-18, January, DOI: 10.1515/jtse-2018-0024.
  2. Asai, Manabu & McAleer, Michael & Peiris, Shelton, 2020, "Realized stochastic volatility models with generalized Gegenbauer long memory," Econometrics and Statistics, Elsevier, volume 16, issue C, pages 42-54, DOI: 10.1016/j.ecosta.2018.12.005.
  3. Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020, "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, volume 36, issue 3, pages 933-948, DOI: 10.1016/j.ijforecast.2019.10.003.

2019

  1. Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, volume 12, issue 17, pages 1-17, September.

2017

  1. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017, "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, volume 199, issue 2, pages 202-212, DOI: 10.1016/j.jeconom.2017.05.010.
  2. Shelton Peiris & Manabu Asai & Michael McAleer, 2017, "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, volume 10, issue 4, pages 1-16, December.
  3. Manabu Asai & Michael McAleer, 2017, "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 1-3, pages 42-59, March, DOI: 10.1080/07474938.2015.1114235.
  4. Manabu Asai & Michael McAleer, 2017, "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 6-9, pages 638-650, October, DOI: 10.1080/07474938.2017.1307326.
  5. Mike K. P. So & Raymond W. M. Li & Manabu Asai & Yue Jiang, 2017, "Stochastic Multivariate Mixture Covariance Model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 2, pages 139-155, March.
  6. Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 11, pages 1141-1152, November.

2016

  1. Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016, "Matrix exponential stochastic volatility with cross leverage," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 331-350, DOI: 10.1016/j.csda.2014.10.012.
  2. M. Shelton Peiris & Manabu Asai, 2016, "Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited," Econometrics, MDPI, volume 4, issue 3, pages 1-21, September.

2015

  1. Asai Manabu & So Mike K.P., 2015, "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes," Journal of Time Series Econometrics, De Gruyter, volume 7, issue 1, pages 69-94, January, DOI: 10.1515/jtse-2013-0012.
  2. Asai, Manabu & McAleer, Michael, 2015, "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 436-446, DOI: 10.1016/j.jeconom.2015.02.029.
  3. Asai, Manabu & McAleer, Michael, 2015, "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 251-262, DOI: 10.1016/j.jeconom.2015.03.020.
  4. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015, "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 40-50, DOI: 10.1016/j.iref.2015.02.004.

2013

  1. 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, volume 25, issue C, pages 202-213, DOI: 10.1016/j.najef.2012.06.005.
  2. 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, volume 26, issue C, pages 310-322, DOI: 10.1016/j.najef.2013.02.007.
  3. Manabu Asai, 2013, "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 5, pages 469-480, August.

2012

  1. Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012, "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 1, pages 217-230, January.
  2. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012, "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 495-512, June.
  3. Manabu Asai & Iván Brugal, 2012, "Forecasting volatility using range data: analysis for emerging equity markets in Latin America," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 6, pages 461-470, March, DOI: 10.1080/09603107.2011.617694.

2011

  1. Manabu Asai & Michael McAleer, 2011, "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 5, pages 548-564, October, DOI: 10.1080/07474938.2011.553156.

2010

  1. 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, volume 20, issue 13, pages 1041-1049, DOI: 10.1080/09603101003724356.

2009

  1. Manabu Asai & Michael McAleer, 2009, "Multivariate stochastic volatility, leverage and news impact surfaces," Econometrics Journal, Royal Economic Society, volume 12, issue 2, pages 292-309, July.
  2. Asai, Manabu & McAleer, Michael, 2009, "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 182-192, June.
  3. Asai, Manabu, 2009, "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2579-2596, DOI: 10.1016/j.matcom.2008.12.013.

2008

  1. Asai, Manabu, 2008, "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 332-341, March.
  2. Asai, Manabu & McAleer, Michael, 2008, "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, volume 24, issue 3, pages 449-461.
  3. 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, volume 78, issue 2, pages 209-214, DOI: 10.1016/j.matcom.2008.01.014.
  4. 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, volume 18, issue 16, pages 1333-1341, DOI: 10.1080/09603100701604274.

2007

  1. Manabu Asai & Michael McAleer, 2007, "Non-trading day effects in asymmetric conditional and stochastic volatility models," Econometrics Journal, Royal Economic Society, volume 10, issue 1, pages 113-123, March.

2006

  1. Manabu Asai & Michael McAleer & Jun Yu, 2006, "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 145-175, DOI: 10.1080/07474930600713564.
  2. Manabu Asai & Michael McAleer, 2006, "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 453-473, DOI: 10.1080/07474930600712913.

2005

  1. Manabu Asai, 2005, "Comparison of MCMC Methods for Estimating Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, volume 25, issue 3, pages 281-301, June, DOI: 10.1007/s10614-005-2974-4.
  2. Manabu Asai & Michael McAleer, 2005, "Dynamic Asymmetric Leverage in Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 3, pages 317-332, DOI: 10.1080/07474930500243035.

1999

  1. Manabu Asai, 1999, "Time series evidence on a new Keynesian theory of the output-inflation trade-off," Applied Economics Letters, Taylor & Francis Journals, volume 6, issue 9, pages 539-541, DOI: 10.1080/135048599352556.

Chapters

2009

  1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2009, "Multivariate Stochastic Volatility," Springer Books, Springer, chapter 16, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_16.

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