Manabu Asai

发表

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

Michael McAleer, Rangan Gupta, Manabu Asai, 2019, Energies.

Realized stochastic volatility with general asymmetry and long memory

Michael McAleer, Chia-Lin Chang, Manabu Asai, 2017 .

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Michael McAleer, Manabu Asai, Shelton Peiris, 2017, Econometrics and Statistics.

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance☆

Michael McAleer, Manabu Asai, M. McAleer, 2014 .

Matrix exponential stochastic volatility with cross leverage

Yasuhiro Omori, Manabu Asai, Tsunehiro Ishihara, 2016, Comput. Stat. Data Anal..

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Michael McAleer, Manabu Asai, Massimiliano Caporin, 2012 .

Stress testing correlation matrices for risk management

Mike K. P. So, Manabu Asai, Jerry Wong, 2013 .

A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

Mike K. P. So, Manabu Asai, Manabu Asai, 2019, Commun. Stat. Simul. Comput..

Modelling and Forecasting Noisy Realized Volatility

Michael McAleer, Marcelo C. Medeiros, Manabu Asai, 2009, Comput. Stat. Data Anal..

Bayesian analysis of stochastic volatility models with mixture-of-normal distributions

Manabu Asai, Manabu Asai, 2009, Mathematics and Computers in Simulation.

Comparison of MCMC Methods for Estimating GARCH Models

Manabu Asai, Manabu Asai, 2006 .

Comparison of MCMC Methods for Estimating Stochastic Volatility Models

Manabu Asai, 2005 .

Portfolio single index (PSI) multivariate conditional and stochastic volatility models

Michael McAleer, Manabu Asai, Bernardo da Veiga, 2008, Math. Comput. Simul..

Modeling Text using the Continuous Space Topic Model with Pre-Trained Word Embeddings

Mamoru Komachi, Manabu Asai, Taichi Aida, 2021, ACL.

Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models

Michael McAleer, Laurent L. Pauwels, Manabu Asai, 2021, Econometrics.

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Michael McAleer, Manabu Asai, Chia-Lin Chang, 2021, Journal of Econometrics.

Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil

Manabu Asai, Manabu Asai, Iván Brugal, 2013 .

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range

Manabu Asai, Manabu Asai, 2012 .

A Portfolio Index GARCH model

Michael McAleer, Manabu Asai, M. McAleer, 2008 .

Block Structure Multivariate Stochastic Volatility Models

Michael McAleer, Manabu Asai, Massimiliano Caporin, 2009 .

Autoregressive Stochastic Volatility Models with Heavy-tailed Distributions: A Comparison with Multifactor Volatility Models

Manabu Asai, Manabu Asai, 2008 .

Stochastic Volatility Models with Heavy-Tailed Distributions: A Bayesian Analysis

Manabu Asai, Toshiaki Watanabe, Manabu Asai, 2001 .