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Manabu ASAI
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Cited by
Year
Multivariate stochastic volatility: A review
M Asai, M McAleer, J Yu
Econometric Reviews 25 (2-3), 145-175, 2006
4092006
Multivariate stochastic volatility
S Chib, Y Omori, M Asai
Handbook of financial time series, 365-400, 2009
1662009
The structure of dynamic correlations in multivariate stochastic volatility models
M Asai, M McAleer
Journal of Econometrics 150 (2), 182-192, 2009
1292009
Dynamic asymmetric leverage in stochastic volatility models
M Asai, M McAleer
Econometric Reviews 24 (3), 317-332, 2005
722005
Asymmetry and long memory in volatility modeling
M Asai, M McAleer, MC Medeiros
Journal of Financial Econometrics 10 (3), 495-512, 2012
682012
Asymmetric multivariate stochastic volatility
M Asai, M McAleer
Econometric Reviews 25 (2-3), 453-473, 2006
672006
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
M Asai, R Gupta, M McAleer
International Journal of Forecasting 36 (3), 933-948, 2020
662020
Alternative asymmetric stochastic volatility models
M Asai, M McAleer
Econometric Reviews 30 (5), 548-564, 2011
582011
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
M Asai
Journal of Empirical Finance 15 (2), 332-341, 2008
582008
Comparison of MCMC methods for estimating GARCH models
M Asai
Journal of the Japan Statistical Society 36 (2), 199-212, 2006
502006
Modelling and forecasting noisy realized volatility
M Asai, M McAleer, MC Medeiros
Computational Statistics & Data Analysis 56 (1), 217-230, 2012
492012
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
M Asai, M McAleer
Journal of Econometrics 189 (2), 251-262, 2015
392015
Multivariate stochastic volatility, leverage and news impact surfaces
M Asai, M McAleer
The Econometrics Journal 12 (2), 292-309, 2009
392009
Matrix exponential stochastic volatility with cross leverage
T Ishihara, Y Omori, M Asai
Computational Statistics & Data Analysis 100, 331-350, 2016
322016
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
M Asai, I Brugal
The North American Journal of Economics and Finance 25, 202-213, 2013
312013
The Japanese stock market and the macroeconomy: An empirical investigation
M Asai, T Shiba
Financial Engineering and the Japanese Markets 2 (3), 259-267, 1995
291995
The relationship between stock return volatility and trading volume: the case of the Philippines
M Asai, A Unite
Applied Financial Economics 18 (16), 1333-1341, 2008
272008
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
M Asai
Mathematics and Computers in Simulation 79 (8), 2579-2596, 2009
262009
Stochastic volatility models with heavy-tailed distributions: A Bayesian analysis
T Watanabe, M Asai
Institute for Monetary and Economic Studies, Bank of Japan, 2001
262001
The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
M Asai, R Gupta, M McAleer
Energies 12 (17), 3379, 2019
252019
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