← All authors Manabu Asai Soka University (from arXiv:2406.19033, 2024) · ORCID · OpenAlex
69 papers in scope · 69 published · 1 on the econ.EM arXiv · 1,452 citations · h-index 17 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Benjamin Poignard Giorgio Calzolari Christian Mücher Roxana Halbleib Hedibert F. Lopes Gregor Kastner Sylvia Frühwirth-Schnatter Aygul Zagidullina Winfried Pohlmeier Darjus Hosszejni Bruno P. C. Levy Florian Huber Maurizio Daniele Paulina Jonéus Sebastian Ankargren Peter Knaus Tomasz Woźniak Nikolaus Hautsch Xandro Bayer Rafael Reisenhofer Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 69)
published 2026 · Econometric Reviews
Rank-adjusted conditional autoregressive Wishart models
published 2026 · Japanese Journal of Statistics and Data Science
Bayesian Tail Risk Forecasting with Geopolitical Narratives and Range-Based Volatility
published 2026 · Computational Economics
with Cathy W. S. Chen, Aaron E. P. Lin
Maximum likelihood estimation for singular Wishart distributions
published 2025 · Statistics & Probability Letters
Linkage vector autoregressive model
published 2024 · Applied Stochastic Models in Business and Industry
with Mike K. P. So
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
published 2023 · Econometrics · 1 citations
Estimation of high-dimensional vector autoregression via sparse precision matrix
published 2023 · Econometrics Journal · 3 citations
Realized BEKK-CAW Models
published 2022 · Journal of Time Series Econometrics
with Mike K. P. So
published 2022 · Journal of Time Series Analysis · 4 citations
A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs
published 2022 · Communications in Statistics Case Studies Data Analysis and Applications · 3 citations
with Chia-Lin Chang, Michael McAleer, Laurent L. Pauwels
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application
published 2022 · Econometrics and Statistics · 2 citations
Multivariate Hyper-Rotated GARCH-BEKK
published 2022 · Journal of Time Series Econometrics · 4 citations
with Michael McAleer
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
published 2021 · Journal of Econometrics · 13 citations
with Chia-Lin Chang, Michael McAleer
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
published 2021 · Econometrics · 2 citations
with Chia-Lin Chang, Michael McAleer, Laurent L. Pauwels
Bayesian non‐linear quantile effects on modelling realized kernels
published 2021 · International Journal of Finance & Economics · 4 citations
with Manh Cuong Dong, Cathy W. S. Chen
Bayesian Analysis of Realized Matrix-Exponential GARCH Models
published 2020 · Computational Economics · 7 citations · first circulated 2018
with Michael McAleer
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
published 2020 · Journal of Time Series Analysis · 3 citations
with Mike K. P. So
On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations
published 2020 · Computational Economics · 9 citations
with Cathy W. S. Chen, Hong Than-Thi
Asymptotic Theory for Robust Autocorrelation Test under Stochastic Volatility
published 2020 · 創価経済論集
no link
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
published 2020 · International Journal of Forecasting · 141 citations · first circulated 2019
with Rangan Gupta, Michael McAleer
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
published 2020 · Journal of Time Series Econometrics · 1 citations · first circulated 2018
with Shelton Peiris, Michael McAleer, David E. Allen
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
published 2019 · Energies · 41 citations · first circulated 2015
with Rangan Gupta, Michael McAleer
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
published 2019 · Communications in Statistics - Simulation and Computation · 1 citations
with Mike K. P. So
Realized stochastic volatility models with generalized Gegenbauer long memory
published 2019 · Econometrics and Statistics · 8 citations · first circulated 2017
with Michael McAleer, Shelton Peiris
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
published 2017 · Journal of risk and financial management · 4 citations · first circulated 2016
with Shelton Peiris, Michael McAleer
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
published 2017 · International Journal of Statistics and Probability · 1 citations · first circulated 2016
with Michael McAleer
Realized stochastic volatility with general asymmetry and long memory
published 2017 · Journal of Econometrics · 31 citations
with Chia-Lin Chang, Michael McAleer
Forecasting the volatility of Nikkei 225 futures
published 2017 · Journal of Futures Markets · 3 citations
with Michael McAleer
The impact of jumps and leverage in forecasting covolatility
published 2017 · Econometric Reviews · 13 citations
with Michael McAleer
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
published 2016 · Econometrics · 12 citations
with Shelton Peiris
A fractionally integrated Wishart stochastic volatility model
published 2016 · Econometric Reviews · 8 citations · first circulated 2013
with Michael McAleer
Stochastic Multivariate Mixture Covariance Model
published 2016 · Journal of Forecasting · 2 citations
with Mike K. P. So, Raymond W. M. Li, Yue Jiang
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
published 2015 · Journal of Econometrics · 41 citations · first circulated 2014
with Michael McAleer
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
published 2015 · Journal of Econometrics · 11 citations · first circulated 2013
with Michael McAleer
Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
published 2015 · International Review of Economics & Finance · 11 citations · first circulated 2009
with Massimiliano Caporin, Michael McAleer
Bayesian Analysis of General Asymmetric Multivariate GARCH Models and News Impact Curves
published 2015 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 1 citations
Matrix exponential stochastic volatility with cross leverage
published 2014 · Computational Statistics & Data Analysis · 4 citations
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
published 2014 · Journal of Time Series Econometrics · 11 citations
with Mike K. P. So
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
published 2013 · Journal of Forecasting · 20 citations · first circulated 2012
Stress testing correlation matrices for risk management
published 2013 · The North American Journal of Economics and Finance · 13 citations
with Mike K. P. So, Jerry Wong
Stochastic Covariance Models
published 2013 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 17 citations · first circulated 2010
with Mike K. P. So
Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
published 2012 · The North American Journal of Economics and Finance · 21 citations
with Iván Brugal
Asymmetry and Long Memory in Volatility Modeling
published 2011 · Journal of Financial Econometrics · 77 citations · first circulated 2010
Forecasting volatility using range data: analysis for emerging equity markets in Latin America
published 2011 · Applied Financial Economics · 5 citations
with Iván Brugal
Alternative Asymmetric Stochastic Volatility Models
published 2011 · Econometric Reviews · 49 citations · first circulated 2009
with Michael McAleer
General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets
published 2010 · Applied Financial Economics · 6 citations
with Angelo A. Unite
Multivariate stochastic volatility, leverage and news impact surfaces
published 2009 · Econometrics Journal · 29 citations
with Michael McAleer
The structure of dynamic correlations in multivariate stochastic volatility models
published 2009 · Journal of Econometrics · 107 citations
with Michael McAleer
Modelling and Forecasting Noisy Realized Volatility
published 2009 · Computational Statistics & Data Analysis · 7 citations
Dynamic Conditional Correlations for Asymmetric Processes
published 2009 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 2 citations
with Michael McAleer
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
published 2008 · Mathematics and Computers in Simulation · 25 citations
Asymmetry and Leverage in Realized Volatility
published 2008 · CARF F-Series · 3 citations
A Portfolio Index GARCH model
published 2008 · International Journal of Forecasting · 22 citations
with Michael McAleer
The relationship between stock return volatility and trading volume: the case of the Philippines
published 2008 · Applied Financial Economics · 13 citations
with Angelo A. Unite
A distribution-free test for symmetry with an application to S&P index returns
published 2008 · Applied Economics Letters · 5 citations
with Ulziijargal Dashzeveg
Portfolio single index (PSI) multivariate conditional and stochastic volatility models
published 2008 · Mathematics and Computers in Simulation
with Michael McAleer, Bernardo da Veiga
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
published 2007 · Journal of Empirical Finance · 48 citations
Non‐trading day effects in asymmetric conditional and stochastic volatility models
published 2007 · Econometrics Journal · 5 citations
with Michael McAleer
Multivariate Stochastic Volatility: A Review
published 2006 · Econometric Reviews · 380 citations
Asymmetric Multivariate Stochastic Volatility
published 2006 · Econometric Reviews · 61 citations · first circulated 2005
with Michael McAleer
Comparison of MCMC Methods for Estimating GARCH Models
published 2006 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 32 citations
Dynamic Asymmetric Leverage in Stochastic Volatility Models
published 2005 · Econometric Reviews · 70 citations
with Michael McAleer
Comparison of MCMC Methods for Estimating Stochastic Volatility Models
published 2005 · Computational Economics · 11 citations
Asymmetry and leverage in stochastic volatility models: An exposition
published 2005 · Congress on Modelling and Simulation · 2 citations
with Michael McAleer
no link
Testing for Serial Correlation in the Presence of Stochastic Volatility
published 2000 · Asia-Pacific Financial Markets · 1 citations
Time series evidence on a new Keynesian theory of the output-inflation trade-off
published 1999 · Applied Economics Letters · 5 citations
A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
published 1998 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 4 citations
Random walk stochastic volatility models
published 1998 · Medical Entomology and Zoology
no link
The Japanese stock market and the macroeconomy: An empirical investigation
published 1995 · Asia-Pacific Financial Markets · 12 citations
with Tsunemasa Shiba
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