# Manabu Asai

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## Personal Details

First Name: | Manabu |

Middle Name: | |

Last Name: | Asai |

Suffix: | |

RePEc Short-ID: | pas73 |

[This author has chosen not to make the email address public] | |

http://home.soka.ac.jp/~m-asai/ | |

- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016.
"
**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016.
"
**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.

- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016.
"
- Asai, M. & McAleer, M.J., 2016.
"
**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Manabu Asai & Michael McAleer, 2016.
"
**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico. - Manabu Asai & Michael McAleer, 2016.
"
**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.

- Manabu Asai & Michael McAleer, 2016.
"
- Peiris, S. & Asai, M. & McAleer, M.J., 2016.
"
**Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models**," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Shelton Peiris & Manabu Asai & Michael McAleer, 2016.
"
**Estimating and forecasting generalized fractional Long memory stochastic volatility models**," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico. - Shelton Peiris & Manabu Asai & Michael McAleer, 2016.
"
**Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models**," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.

- Shelton Peiris & Manabu Asai & Michael McAleer, 2016.
"
- Asai, M. & McAleer, M.J., 2016.
"
**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**," Econometric Institute Research Papers EI2016-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Manabu Asai & Michael McAleer, 2016.
"
**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**," Tinbergen Institute Discussion Papers 16-065/III, Tinbergen Institute.

- Manabu Asai & Michael McAleer, 2016.
"
- Manabu Asai & Michael McAleer, 2015.
"
**The Impact of Jumps and Leverage in Forecasting Co-Volatility**," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.- Asai, M. & McAleer, M.J., 2015.
"
**The Impact of Jumps and Leverage in Forecasting Co-Volatility**," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer, 2015.
"
**The Impact of Jumps and Leverage in Forecasting Co-Volatility**," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.

- Asai, M. & McAleer, M.J., 2015.
"
- 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.- Asai, Manabu & McAleer, Michael, 2015.
"
**Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance**," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.

- Manabu Asai & Michael McAleer, 2014.
"
**Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance**," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance. - Manabu Asai & Michael McAleer, 2014.
"
**Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance**," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.

- Asai, Manabu & McAleer, Michael, 2015.
"
- 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.- Manabu Asai & Michael McAleer, 2013.
"
**A Fractionally Integrated Wishart Stochastic Volatility Model**," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute. - Manabu Asai & Michael McAleer, 2013.
"
**A Fractionally Integrated Wishart Stochastic Volatility Model**," KIER Working Papers 848, Kyoto University, Institute of Economic Research.

- Manabu Asai & Michael McAleer, 2013.
"
- 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.- Asai, Manabu & McAleer, Michael, 2015.
"
**Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing**," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.

- Manabu Asai & Michael McAleer, 2013.
"
**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute. - Manabu Asai & Michael McAleer, 2013.
"
**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**," KIER Working Papers 840, Kyoto University, Institute of Economic Research.

- Asai, Manabu & McAleer, Michael, 2015.
"
- 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.- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015.
"
**Forecasting Value-at-Risk using block structure multivariate stochastic volatility models**," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.

- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013.
"
**Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models**," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute. - Asai, M. & Caporin, M. & McAleer, M.J., 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," KIER Working Papers 812, Kyoto University, Institute of Economic Research. - Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.

- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015.
"
- 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.- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
**Matrix exponential stochastic volatility with cross leverage**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.

- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-938, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2013.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-904, CIRJE, Faculty of Economics, University of Tokyo.

- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
- 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.- 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.

- Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010.
"
**Asymmetry and Long Memory in Volatility Modelling**," Econometric Institute Research Papers EI 2010-60, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"
**Asymmetry and Long Memory in Volatility Modelling**," KIER Working Papers 726, Kyoto University, Institute of Economic Research. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Asymmetry and Long Memory in Volatility Modelling**," Documentos de Trabajo del ICAE 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012.
"
- 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.- Asai, M. & Caporin, M., 2009.
"
**Block Structure Multivariate Stochastic Volatility Models**," Econometric Institute Research Papers EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010.
"
**Block Structure Multivariate Stochastic Volatility Models**," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.

- Asai, M. & Caporin, M., 2009.
"
- 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.- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009.
"
**Asymmetry and Leverage in Realized Volatility**," CARF F-Series CARF-F-167, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Asai, M. & McAleer, M.J. & Medeiros, M.C., 2008.
"
**Asymmetry and leverage in realized volatility**," Econometric Institute Research Papers EI 2008-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009.
"
- Manabu Asai & Michael McAleer, 2009.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.- Manabu Asai & Michael McAleer, 2009.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," CARF F-Series CARF-F-168, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Manabu Asai & Michael McAleer, 2010.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," Working Papers in Economics 10/76, University of Canterbury, Department of Economics and Finance. - Manabu Asai & Michael McAleer, 2010.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," KIER Working Papers 747, Kyoto University, Institute of Economic Research. - Asai, M. & McAleer, M.J., 2010.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," Econometric Institute Research Papers EI 2010-76, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer, 2011.
"
**Dynamic Conditional Correlations for Asymmetric Processes**," Documentos de Trabajo del ICAE 2011-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

- Manabu Asai & Michael McAleer, 2009.
"
- 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.- 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.

- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," KIER Working Papers 758, Kyoto University, Institute of Economic Research. - Asai, M. & McAleer, M.J. & Medeiros, M., 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico. - Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"
**Modelling and Forecasting Noisy Realized Volatility**," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.

- Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012.
"
- Manabu Asai & Michael McAleer, 2009.
"
**Alternative Asymmetric Stochastic Volatility Models**," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.- Manabu Asai & Michael McAleer, 2011.
"
**Alternative Asymmetric Stochastic Volatility Models**," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.

- Manabu Asai & Michael McAleer, 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance. - Manabu Asai & Michael McAleer, 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," KIER Working Papers 739, Kyoto University, Institute of Economic Research. - Asai, M. & McAleer, M.J., 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer, 2009.
"
**Alternative Asymmetric Stochastic Volatility Models**," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

- Manabu Asai & Michael McAleer, 2011.
"
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"
**Multivariate stochastic volatility**," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"
**Multivariate Stochastic Volatility**," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.

- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"
- 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. - Manabu Asai & Michael McAleer, 2005.
"
**Asymmetric Multivariate Stochastic Volatility**," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.- Manabu Asai & Michael McAleer, 2006.
"
**Asymmetric Multivariate Stochastic Volatility**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.

- Manabu Asai & Michael McAleer, 2006.
"

- M. Shelton Peiris & Manabu Asai, 2016.
"
**Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited**," Econometrics, MDPI, Open Access Journal, vol. 4(3), pages 37, September. - Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
**Matrix exponential stochastic volatility with cross leverage**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-938, CIRJE, Faculty of Economics, University of Tokyo. - 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. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2013.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-904, CIRJE, Faculty of Economics, University of Tokyo.

- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
- Asai, Manabu & McAleer, Michael, 2015.
"
**Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance**," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.- 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. - Manabu Asai & Michael McAleer, 2014.
"
**Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance**," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance. - Manabu Asai & Michael McAleer, 2014.
"
**Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance**," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.

- Manabu Asai & Michael McAleer, 2014.
"
- Asai Manabu & So Mike K.P., 2015.
"
**Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes**," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 26, January. - Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015.
"
**Forecasting Value-at-Risk using block structure multivariate stochastic volatility models**," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance. - Asai, M. & Caporin, M. & McAleer, M.J., 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - 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. - Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012.
"
**Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models**," KIER Working Papers 812, Kyoto University, Institute of Economic Research. - Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013.
"
**Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models**," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.

- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012.
"
- Asai, Manabu & McAleer, Michael, 2015.
"
**Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing**," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.- Manabu Asai & Michael McAleer, 2013.
"
**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**," KIER Working Papers 840, Kyoto University, Institute of Economic Research. - 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. - Manabu Asai & Michael McAleer, 2013.
"
**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.

- Manabu Asai & Michael McAleer, 2013.
"
- 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. - 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. - 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. - 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.- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"
**Asymmetry and Long Memory in Volatility Modelling**," KIER Working Papers 726, Kyoto University, Institute of Economic Research. - 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. - Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010.
"
**Asymmetry and Long Memory in Volatility Modelling**," Econometric Institute Research Papers EI 2010-60, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Asymmetry and Long Memory in Volatility Modelling**," Documentos de Trabajo del ICAE 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"
- Manabu Asai & Iván 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. - 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.- Asai, M. & McAleer, M.J. & Medeiros, M., 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," KIER Working Papers 758, Kyoto University, Institute of Economic Research. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011.
"
**Modelling and Forecasting Noisy Realized Volatility**," Documentos de Trabajo del ICAE 2011-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico. - Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010.
"
**Modelling and Forecasting Noisy Realized Volatility**," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance. - 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.

- Asai, M. & McAleer, M.J. & Medeiros, M., 2011.
"
- Manabu Asai & Michael McAleer, 2011.
"
**Alternative Asymmetric Stochastic Volatility Models**," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.- Manabu Asai & Michael McAleer, 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," KIER Working Papers 739, Kyoto University, Institute of Economic Research. - Manabu Asai & Michael McAleer, 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance. - Asai, M. & McAleer, M.J., 2010.
"
**Alternative Asymmetric Stochastic Volatility Models**," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer, 2009.
"
**Alternative Asymmetric Stochastic Volatility Models**," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Manabu Asai & Michael McAleer, 2009.
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**Alternative Asymmetric Stochastic Volatility Models**," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.

- Manabu Asai & Michael McAleer, 2010.
"
- 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. - 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. - Asai, Manabu & McAleer, Michael, 2009.
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**The structure of dynamic correlations in multivariate stochastic volatility models**," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June. - Manabu Asai & Michael McAleer, 2009.
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**Multivariate stochastic volatility, leverage and news impact surfaces**," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 292-309, 07. - 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. - Asai, Manabu & McAleer, Michael, 2008.
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**A Portfolio Index GARCH model**," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461. - Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008.
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**Portfolio single index (PSI) multivariate conditional and stochastic volatility models**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214. - Manabu Asai & Angelo Unite, 2008.
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**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. - Manabu Asai & Michael McAleer, 2007.
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**Non-trading day effects in asymmetric conditional and stochastic volatility models**," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 113-123, 03. - Manabu Asai & Michael McAleer, 2006.
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**Asymmetric Multivariate Stochastic Volatility**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.- Manabu Asai & Michael McAleer, 2005.
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**Asymmetric Multivariate Stochastic Volatility**," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.

- Manabu Asai & Michael McAleer, 2005.
"
- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"
**Multivariate Stochastic Volatility: A Review**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175. - Manabu Asai, 2005.
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**Comparison of MCMC Methods for Estimating Stochastic Volatility Models**," Computational Economics, Springer;Society for Computational Economics, vol. 25(3), pages 281-301, June. - Manabu Asai & Michael McAleer, 2005.
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**Dynamic Asymmetric Leverage in Stochastic Volatility Models**," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 317-332. - Manabu Asai, 1999.
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**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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 45 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

- NEP-ETS:
**Econometric Time Series**(36) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-26 2010-01-10 2010-04-17 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 2014-12-03 2015-04-25 2015-04-25 2015-05-22 2016-06-18 2016-07-02 2016-07-16 2016-09-04 2016-09-11 2016-09-18 2016-09-25 2016-09-25 2016-10-02 2016-10-02. Author is listed - NEP-ORE:
**Operations Research**(23) 2009-09-19 2010-10-16 2012-03-14 2012-04-17 2013-01-26 2013-02-16 2013-03-02 2013-06-16 2014-04-05 2014-04-11 2014-05-24 2014-12-03 2015-05-22 2016-03-06 2016-06-18 2016-07-16 2016-09-04 2016-09-11 2016-09-18 2016-09-25 2016-09-25 2016-10-02 2016-10-02. Author is listed - NEP-ECM:
**Econometrics**(20) 2006-04-08 2007-04-09 2009-09-19 2009-09-19 2009-09-19 2009-09-26 2010-01-10 2010-04-17 2010-05-29 2010-05-29 2010-10-16 2012-03-14 2013-02-16 2013-10-05 2014-04-05 2015-04-25 2016-06-18 2016-09-04 2016-09-11 2016-09-18. Author is listed - NEP-FOR:
**Forecasting**(20) 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 2014-04-05 2014-04-11 2015-04-25 2015-04-25 2015-05-22 2016-03-06 2016-06-18 2016-07-02 2016-07-16. Author is listed - NEP-RMG:
**Risk Management**(9) 2010-10-16 2010-11-27 2012-03-14 2012-04-17 2014-12-03 2015-04-25 2015-05-22 2016-09-18 2016-09-25. Author is listed - NEP-MST:
**Market Microstructure**(5) 2009-09-26 2010-05-29 2011-02-12 2011-04-23 2015-05-22. Author is listed - NEP-GER: German Papers (2) 2014-04-11 2016-07-16
- NEP-BAN: Banking (1) 2012-03-14
- NEP-CBA: Central Banking (1) 2012-03-14
- NEP-FMK: Financial Markets (1) 2009-09-19
- NEP-ICT: Information & Communication Technologies (1) 2006-04-08
- NEP-SOG: Sociology of Economics (1) 2016-09-18

#### Most cited item

- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"
**Multivariate Stochastic Volatility: A Review**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.

#### Most downloaded item (past 12 months)

- Peiris, S. & Asai, M. & McAleer, M.J., 2016.
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**Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models**," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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