Manabu Asai

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
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
The Japanese stock market and the macroeconomy: An empirical investigation	2009-02-06	Paper
Testing for serial correlation in the presence of stochastic volatility	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
Multivariate Stochastic Volatility: A Review	2006-08-28	Paper
Asymmetric Multivariate Stochastic Volatility	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

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Manabu Asai