Manabu Asai

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Estimation of high-dimensional vector autoregression via sparse precision matrix	2024-06-11	Paper
High‐dimensional sparse multivariate stochastic volatility models	2023-08-24	Paper
Realized BEKK-CAW models	2023-03-20	Paper
Multivariate hyper-rotated GARCH-BEKK	2022-07-05	Paper
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise	2022-06-21	Paper
The impact of jumps and leverage in forecasting covolatility	2022-06-08	Paper
A fractionally integrated Wishart stochastic volatility model	2022-06-07	Paper
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers	2022-03-16	Paper
カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について	2021-08-27	Paper
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models	2021-06-30	Paper
Cointegrated dynamics for a generalized long memory process: application to interest rates	2020-09-03	Paper
Stochastic Multivariate Mixture Covariance Model	2018-10-12	Paper
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range	2018-10-11	Paper
Matrix exponential stochastic volatility with cross leverage	2018-08-15	Paper
Long memory and asymmetry for matrix-exponential dynamic correlation processes	2018-02-07	Paper
Realized stochastic volatility with general asymmetry and long memory	2017-08-18	Paper
Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves	2016-11-15	Paper
The structure of dynamic correlations in multivariate stochastic volatility models	2016-07-04	Paper
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance	2015-10-30	Paper
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing	2015-06-08	Paper
Stochastic covariance models	2014-10-23	Paper
Dynamic Conditional Correlations for Asymmetric Processes	2013-02-14	Paper
Modelling and forecasting noisy realized volatility	2012-06-20	Paper
Multivariate stochastic volatility, leverage and news impact surfaces	2010-10-15	Paper
Multivariate Stochastic Volatility	2009-11-27	Paper
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions	2009-06-18	Paper
Testing for serial correlation in the presence of stochastic volatility	2009-02-06	Paper
The Japanese stock market and the macroeconomy: An empirical investigation	2009-02-06	Paper
Portfolio single index (PSI) multivariate conditional and stochastic volatility models	2008-06-18	Paper
Non‐trading day effects in asymmetric conditional and stochastic volatility models	2007-08-09	Paper
Comparison of MCMC Methods for Estimating GARCH Models	2007-05-24	Paper
Asymmetric Multivariate Stochastic Volatility	2006-08-28	Paper
Multivariate Stochastic Volatility: A Review	2006-08-28	Paper
Comparison of MCMC methods for estimating stochastic volatility models	2006-02-20	Paper
Dynamic Asymmetric Leverage in Stochastic Volatility Models	2005-10-17	Paper
A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH	1999-01-10	Paper

Research outcomes over time

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