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Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter,
Manabu Asai,
in Econometrics
(2023)
Keywords: realized volatility; stochastic volatility; asymmetry; heavy-tailed distribution; quasi-maximum likelihood estimation
Time series evidence on a new Keynesian theory of the output-inflation trade-off,
Manabu Asai,
in Applied Economics Letters
(1999)
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range,
Manabu Asai,
in Journal of Forecasting
(2013)
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models,
Manabu Asai,
in Journal of Empirical Finance
(2008)
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions,
Manabu Asai,
in Mathematics and Computers in Simulation (MATCOM)
(2009)
Keywords: Bayes factor; Mixture-of-normal distributions; Generalized error distribution; Marginal likelihood; Markov-chain Monte Carlo; Multi-move sampler; Student-t distribution;
Comparison of MCMC Methods for Estimating Stochastic Volatility Models,
Manabu Asai,
in Computational Economics
(2005)
Keywords: integration sampler, Markov chain Monte Carlo, mixture sampler, multi-move sampler, simulation smoother,
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application,
Manabu Asai,
in Econometrics and Statistics
(2023)
Keywords: Panel data; Multivariate GARCH; Fixed effects; Consistency; Asymptotic normality;
Registered author: Manabu Asai
The relationship between stock return volatility and trading volume: the case of the Philippines,
Manabu Asai and Angelo Unite,
in Applied Financial Economics
(2008)
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets,
Manabu Asai and Angelo Unite,
in Applied Financial Economics
(2010)
Forecasting volatility using range data: analysis for emerging equity markets in Latin America,
Manabu Asai and Iván Brugal,
in Applied Financial Economics
(2012)
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil,
Manabu Asai and Ivan Brugal,
in The North American Journal of Economics and Finance
(2013)
Keywords: Vector autoregression; Heterogeneous autoregressive models; Range; Volatility; Trading volume; Value at risk; Leverage effects;
High-Dimensional Sparse Multivariate Stochastic Volatility Models,
Benjamin Poignard and Manabu Asai,
from arXiv.org
(2022)
Factor multivariate stochastic volatility models of high dimension,
Benjamin Poignard and Manabu Asai,
from arXiv.org
(2024)
High‐dimensional sparse multivariate stochastic volatility models,
Benjamin Poignard and Manabu Asai,
in Journal of Time Series Analysis
(2023)
Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix,
Benjamin Poignard and Manabu Asai,
from Osaka University, Graduate School of Economics
(2021)
Keywords: sparse structural vector autoregression; statistical consistency; support recovery.
Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai and Massimiliano Caporin,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2009)
Keywords: block structures, curse of dimensionality, multivariate stochastic volatility
Bayesian Analysis of Realized Matrix-Exponential GARCH Models,
Manabu Asai and Michael McAleer,
in Computational Economics
(2022)
Keywords: Multivariate GARCH, Realized measure, Matrix-exponential, Bayesian Markov chain Monte Carlo method, Asymmetry
Estimation of high-dimensional vector autoregression via sparse precision matrix,
Benjamin Poignard and Manabu Asai,
in The Econometrics Journal
(2023)
Keywords: Graphical vector autoregression, precision matrix, sparsity
Multivariate Hyper-Rotated GARCH-BEKK,
Manabu Asai and Michael McAleer,
in Journal of Time Series Econometrics
(2022)
Keywords: rotated BEKK, hyper-rotated BEKK, diagonal BEKK, multivariate GARCH, quasi-maximum likelihood estimation, consistency, asymptotic normality
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
from University of Canterbury, Department of Economics and Finance
(2010)
Keywords: Stochastic volatility; asymmetric effects; leverage; threshold; indicator function; importance sampling; numerical simulations
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from University of Canterbury, Department of Economics and Finance
(2010)
Keywords: Dynamic conditional correlations; Matrix exponential model; Wishart process; EGARCH; GJR; asymmetric BEKK; heavy-tailed errors
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance,
Manabu Asai and Michael McAleer,
from University of Canterbury, Department of Economics and Finance
(2014)
Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory; Realized Volatility
Dynamic Asymmetric Leverage in Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
in Econometric Reviews
(2005)
Keywords: Asymmetric effects, Monte Carlo likelihood, Stochastic volatility, Threshold effects,
Asymmetric Multivariate Stochastic Volatility,
Manabu Asai and Michael McAleer,
in Econometric Reviews
(2006)
Keywords: Asymmetric leverage, Bayesian Markov chain Monte Carlo, Dynamic leverage, Importance sampling, Multivariate stochastic volatility, Numerical likelihood, Size effect,
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
in Econometric Reviews
(2011)
A fractionally integrated Wishart stochastic volatility model,
Manabu Asai and Michael McAleer,
in Econometric Reviews
(2017)
The impact of jumps and leverage in forecasting covolatility,
Manabu Asai and Michael McAleer,
in Econometric Reviews
(2017)
Non-trading day effects in asymmetric conditional and stochastic volatility models,
Manabu Asai and Michael McAleer,
in Econometrics Journal
(2007)
Multivariate stochastic volatility, leverage and news impact surfaces,
Manabu Asai and Michael McAleer,
in Econometrics Journal
(2009)
The structure of dynamic correlations in multivariate stochastic volatility models,
Manabu Asai and Michael McAleer,
in Journal of Econometrics
(2009)
Keywords: Multivariate conditional volatility Multivariate stochastic volatility Constant correlations Dynamic correlations Markov chain Monte Carlo
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,
Manabu Asai and Michael McAleer,
in Journal of Econometrics
(2015)
Keywords: Multivariate stochastic volatility; Wishart process; Leverage effects; Feedback effects; Multifactor model; Option pricing;
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance,
Manabu Asai and Michael McAleer,
in Journal of Econometrics
(2015)
Keywords: Dimension reduction; Factor model; Multivariate stochastic volatility; Leverage effects; Long memory; Realized volatility;
A Portfolio Index GARCH model,
Manabu Asai and Michael McAleer,
in International Journal of Forecasting
(2008)
Forecasting the volatility of Nikkei 225 futures,
Manabu Asai and Michael McAleer,
in Journal of Futures Markets
(2017)
Bayesian Analysis of Realized Matrix-Exponential GARCH Models,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2018)
Keywords: Multivariate GARCH, Realized Measure, Matrix-Exponential, Bayesian Markov, chain Monte Carlo method, Asymmetry
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2010)
Keywords: asymmetric effects, importance sampling, indicator function, leverage, numerical simulations, stochastic volatility, threshold
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2010)
Keywords: EGARCH, GJR, asymmetric BEKK, dynamic conditional correlations, heavy-tailed errors, matrix exponential model, wishart process
The Impact of Jumps and Leverage in Forecasting Co-Volatility,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2015)
Keywords: Co-Volatility, Forecasting, Jump, Leverage Effects, Realized Covariance, Threshold, Estimation.
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2016)
Keywords: Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Exogenous variables, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2016)
Keywords: Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
Forecasting the Volatility of Nikkei 225 Futures,
Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2017)
Keywords: Forecasting, Volatility, Futures, Realized Volatility, Realized Kernel, Leverage Effects, Long Memory
Asymmetric Multivariate Stochastic Volatility,
Manabu Asai and Michael McAleer,
from Universitat de les Illes Balears, Departament d'Economía Aplicada
(2005)
Keywords: Multivariate stochastic volatility, asymmetric leverage, dynamic leverage, size effect, numerical likelihood, Bayesian Markov chain Monte Carlo, importance sampling.
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2011)
Keywords: Dynamic conditional correlations, Wishart process, EGARCH, GJR, asymmetric BEKK, heavy-tailed errors.
Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2013)
Keywords: Multivariate Stochastic Volatility; Wishart Process; Leverage Eects; Feedback Effects; Multifactor Model; Option Pricing.
A Fractionally Integrated Wishart Stochastic Volatility Model,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2013)
Keywords: Difusion process; Multivariate stochastic volatility; Long memory; Fractional Brownian motion; Generalized Method of Moments.
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2014)
Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory; Realized Volatility.
The Impact of Jumps and Leverage in Forecasting Co-Volatility,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2015)
Keywords: Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2016)
Keywords: Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Dynamic conditional correlations, Regularity conditions, Asymptotic properties.
Forecasting the volatility of Nikkei 225 futures,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2017)
Keywords: Forecasting, Volatility, Futures, Realized volatility, Realized kernel, Leverage effects, Long memory.
Bayesian analysis of realized matrix-exponential GARCH models,
Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2018)
Keywords: Multivariate GARCH; Realized Measure; Matrix-Exponential; Bayesian Markov chain Monte Carlo method; Asymmetry.
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2013)
Keywords: Multivariate Stochastic Volatility; Wishart Process; Leverage Effects; Feedback Effects; Multifactor Model; Option Pricing
A Fractionally Integrated Wishart Stochastic Volatility Model,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2013)
Keywords: Diffusion process; Multivariate stochastic volatility; Long memory; Fractional Brownian motion, Generalized method of moments
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2014)
Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory; Realized Volatility
The Impact of Jumps and Leverage in Forecasting Co-Volatility,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2015)
Keywords: Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2016)
Keywords: Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Exogenous variables, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2016)
Keywords: Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
Forecasting the Volatility of Nikkei 225 Futures,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2017)
Keywords: Forecasting; Volatility; Futures; Realized Volatility; Realized Kernel; Leverage Effects; Long Memory.
Bayesian Analysis of Realized Matrix-Exponential GARCH Models,
Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2018)
Keywords: C11, C32
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
from CIRJE, Faculty of Economics, University of Tokyo
(2009)
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from CIRJE, Faculty of Economics, University of Tokyo
(2009)
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2009)
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
(2009)
Alternative Asymmetric Stochastic Volatility Models,
Manabu Asai and Michael McAleer,
from Kyoto University, Institute of Economic Research
(2010)
Keywords: Stochastic volatility, asymmetric effects, leverage, threshold, indicator function, importance sampling, numerical simulations.
Dynamic Conditional Correlations for Asymmetric Processes,
Manabu Asai and Michael McAleer,
from Kyoto University, Institute of Economic Research
(2010)
Keywords: Dynamic conditional correlations, Matrix exponential model, Wishart process, EGARCH, GJR, asymmetric BEKK, heavy-tailed errors.
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing,
Manabu Asai and Michael McAleer,
from Kyoto University, Institute of Economic Research
(2013)
Keywords: Multivariate Stochastic Volatility; Wishart Process; Leverage E ects; Feedback Effects; Multifactor Model; Option Pricing.
A Fractionally Integrated Wishart Stochastic Volatility Model,
Manabu Asai and Michael McAleer,
from Kyoto University, Institute of Economic Research
(2013)
Keywords: Di usion process; Multivariate stochastic volatility; Long memory; Fractional Brownian motion; Generalized Method of Moments.
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited,
M. Shelton Peiris and Manabu Asai,
in Econometrics
(2016)
Keywords: GARMA; GARCH; stochastic volatility; long-memory; fractional differencing
Matrix exponential stochastic volatility with cross leverage,
Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai,
in Computational Statistics & Data Analysis
(2016)
Keywords: Dynamic correlation; Leverage effect; Matrix exponential; Markov chain Monte Carlo; Multi-move sampler; Multivariate stochastic volatility;
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models,
Manabu Asai and Mike K. P. So,
in Journal of Time Series Analysis
(2021)
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
in JRFM
(2017)
Keywords: stochastic volatility; GARCH models; Gegenbauer polynomial; long memory; spectral likelihood; estimation; forecasting
Asymmetry and Long Memory in Volatility Modeling,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
in Journal of Financial Econometrics
(2012)
Modelling and Forecasting Noisy Realized Volatility,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from University of Canterbury, Department of Economics and Finance
(2010)
Keywords: Realized volatility; diffusion; financial econometrics; measurement errors; forecasting; model evaluation; goodness-of-fit
Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
from University of Canterbury, Department of Economics and Finance
(2010)
Keywords: Block structures; multivariate stochastic volatility; curse of dimensionality
Asymmetry and Long Memory in Volatility Modelling,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from University of Canterbury, Department of Economics and Finance
(2010)
Keywords: Asymmetric volatility; long memory; realized volatility; measurement errors; efficient importance sampling
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
from University of Canterbury, Department of Economics and Finance
(2012)
Keywords: block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution
Modelling and forecasting noisy realized volatility,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
in Computational Statistics & Data Analysis
(2012)
Keywords: Realized volatility Diffusion Financial econometrics Measurement errors Forecasting Model evaluation Goodness-of-fit
Realized stochastic volatility models with generalized Gegenbauer long memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
in Econometrics and Statistics
(2020)
Keywords: Stochastic volatility; Realized volatility measure; Long memory; Gegenbauer polynomial; Seasonality; Whittle likelihood;
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2017)
Keywords: Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Poly-nomial, Seasonality, Whittle Likelihood
Asymmetry and leverage in realized volatility,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2008)
Asymmetry and Long Memory in Volatility Modelling,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2010)
Keywords: asymmetric volatility, efficient importance sampling, long memory, measurement errors, realized volatility
Modelling and Forecasting Noisy Realized Volatility,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2011)
Keywords: diffusion, financial econometrics, forecasting, goodness-of-fit, measurement errors, model evaluation, realized volatility
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2012)
Keywords: block structures, course of dimensionality, heavy-tailed distribution, leverage effects, multi-factors, multivariate stochastic volatility
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting
Realized BEKK-CAW Models,
Manabu Asai and So Mike K. P.,
in Journal of Time Series Econometrics
(2023)
Keywords: asymptotic theory, realized multivariate GARCH, conditional autoregressive Wishart, quasi-maximum likelihood estimation, variance targeting
Modelling and Forecasting Noisy Realized Volatility,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2011)
Keywords: realized volatility; diffusion; financial econometrics; measurement errors; forecasting; model evaluation; goodness-of-fit.
Asymmetry and Long Memory in Volatility Modelling,
Manabu Asai, Michael McAleer and Marcelo Medeiros,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2011)
Keywords: Asymmetric volatility, Long memory, Realized volatility, Measurement errors, Efficient importance sampling.
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2012)
Keywords: block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution.
Estimating and forecasting generalized fractional Long memory stochastic volatility models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting.
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Shelton Peiris and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2017)
Keywords: Stochastic Volatility; Realized Volatility Measure; Long Memory; Gegenbauer Polynomial; Seasonality; Whittle Likelihood.
The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures,
Manabu Asai, Rangan Gupta and Michael McAleer,
from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
(2019)
Keywords: Commodity Markets; Co-volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
in International Review of Economics & Finance
(2015)
Keywords: Block structures; Multivariate stochastic volatility; Leverage effects; Multi-factors; Heavy-tailed distribution;
Multivariate Stochastic Volatility: A Review,
Manabu Asai, Michael McAleer and Jun Yu,
in Econometric Reviews
(2006)
Keywords: Asymmetry, Diagnostic checking, Estimation, Factor models, Leverage, Model comparison, Multivariate stochastic volatility, Thresholds, Time-varying correlations, Transformations,
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models,
Manabu Asai, Massimiliano Caporin and Michael McAleer,
from Tinbergen Institute
(2013)
Keywords: block structures; multivariate stochastic volatility; curse of dimensionality; leverage effects; multi-factors; heavy-tailed distribution
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,
Manabu Asai, Rangan Gupta and Michael McAleer,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2019)
Keywords: Commodity Markets, Co-volatility, Forecasting, Jump, Leverage Effects, Realized, Covariance, Threshold Estimation.
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks,
Manabu Asai, Rangan Gupta and Michael McAleer,
in International Journal of Forecasting
(2020)
Keywords: Commodity markets; Co-volatility; Forecasting; Geopolitical risks; Jumps; Leverage effects; Spillover effects; Realized covariance;
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,
Manabu Asai, Rangan Gupta and Michael McAleer,
in Energies
(2019)
Keywords: commodity markets; co-volatility; forecasting; jump; leverage effects; realized covariance; threshold estimation
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,
Shelton Peiris, Manabu Asai and Michael McAleer,
from Tinbergen Institute
(2016)
Keywords: Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,
Manabu Asai, Michael McAleer and Shelton Peiris,
from Tinbergen Institute
(2017)
Keywords: Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood
Multivariate stochastic volatility,
Siddhartha Chib, Yasuhiro Omori and Manabu Asai,
from CIRJE, Faculty of Economics, University of Tokyo
(2007)
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