Manabu ASAI

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Michael McAleerProfessor of Quantitative Finance, Erasmus University RotterdamE-mail confirmado em ese.eur.nl
Mike K.P. SoThe Hong Kong University of Science and TechnologyE-mail confirmado em ust.hk
Marcelo C. MedeirosProfessor, Department of Economics, The University of Illinois at Urbana-ChampaignE-mail confirmado em illinois.edu
Chia-Lin ChangNational Chung Hsing UniversityE-mail confirmado em email.nchu.edu.tw
Jun YuUniversity of MacauE-mail confirmado em um.edu.mo
Yasuhiro OmoriUniversity of TokyoE-mail confirmado em e.u-tokyo.ac.jp
Rangan GuptaUniversity of PretoriaE-mail confirmado em up.ac.za
Siddhartha ChibHarry C Hartkopf Professor of Econometrics and StatisticsE-mail confirmado em wustl.edu
Angelo Unite, Ph.D.School of Economics, De La Salle UniversityE-mail confirmado em dlsu.edu.ph
Massimiliano CaporinUniversity of Padova - Department of Statistical SciencesE-mail confirmado em unipd.it
Cathy W. S. ChenChair Professor, Feng Chia University, TaiwanE-mail confirmado em mail.fcu.edu.tw
David Edmund AllenSchool of Maths and Statistics University of Sydney, School of Business and Law, Edith Cowan, andE-mail confirmado em sydney.edu.au
Manh Cuong DongSchool of Business, British University Vietnam, VietnamE-mail confirmado em buv.edu.vn
Mamoru KomachiProfessor at Hitotsubashi UniversityE-mail confirmado em r.hit-u.ac.jp
Seiichi InoueE-mail confirmado em r.recruit.co.jp

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Manabu ASAI

Soka University

E-mail confirmado em soka.ac.jp - Página inicial

Econometrics Financial Econometrics Statistics


Título Ordenar por citações Ordenar por ano Ordenar por título	Citado por Citado por	Ano
Multivariate stochastic volatility: A review M Asai, M McAleer, J Yu Econometric Reviews 25 (2-3), 145-175, 2006	452	2006
Multivariate stochastic volatility S Chib, Y Omori, M Asai Handbook of financial time series, 365-400, 2009	197	2009
The structure of dynamic correlations in multivariate stochastic volatility models M Asai, M McAleer Journal of Econometrics 150 (2), 182-192, 2009	151	2009
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	131	2020
Dynamic asymmetric leverage in stochastic volatility models M Asai, M McAleer Econometric Reviews 24 (3), 317-332, 2005	85	2005
Asymmetry and long memory in volatility modeling M Asai, M McAleer, MC Medeiros Journal of Financial Econometrics 10 (3), 495-512, 2012	83	2012
Asymmetric multivariate stochastic volatility M Asai, M McAleer Econometric Reviews 25 (2-3), 453-473, 2006	78	2006
Alternative asymmetric stochastic volatility models M Asai, M McAleer Econometric Reviews 30 (5), 548-564, 2011	68	2011
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	63	2008
Modelling and forecasting noisy realized volatility M Asai, M McAleer, MC Medeiros Computational Statistics & Data Analysis 56 (1), 217-230, 2012	58	2012
Comparison of MCMC methods for estimating GARCH models M Asai Journal of the Japan Statistical Society 36 (2), 199-212, 2006	56	2006
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	45	2015
Multivariate stochastic volatility, leverage and news impact surfaces M Asai, M McAleer The Econometrics Journal 12 (2), 292-309, 2009	45	2009
Matrix exponential stochastic volatility with cross leverage T Ishihara, Y Omori, M Asai Computational Statistics & Data Analysis 100, 331-350, 2016	39	2016
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	36	2019
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	36	2013
Realized stochastic volatility with general asymmetry and long memory M Asai, CL Chang, M McAleer Journal of Econometrics 199 (2), 202-212, 2017	34	2017
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	31	2008
The Japanese stock market and the macroeconomy: An empirical investigation M Asai, T Shiba Financial Engineering and the Japanese Markets 2, 259-267, 1995	31	1995
Stochastic covariance models M Asai, MKP So Journal of the Japan Statistical Society 43 (2), 127-162, 2014	29	2014

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