Search Results - "ASAI, MANABU"

Dynamic Network Poisson Autoregression with Application to COVID-19 Count Data.

Authors: ASAI, MANABU CHU, AMANDA M. Y. SO, MIKE K. P.

Source: Journal of Data Science. Jan2025, Vol. 23 Issue 1, p208-224. 17p.

Linkage vector autoregressive model.

Authors: Asai, Manabu So, Mike K. P.

Source: Applied Stochastic Models in Business & Industry. Jul2024, Vol. 40 Issue 4, p850-862. 13p.

High‐dimensional sparse multivariate stochastic volatility models.

Authors: Poignard, Benjamin Asai, Manabu

Source: Journal of Time Series Analysis. Jan2023, Vol. 44 Issue 1, p4-22. 19p.

Realized BEKK-CAW Models.

Authors: Asai, Manabu So, Mike K. P.

Source: Journal of Time Series Econometrics. Jan2023, Vol. 15 Issue 1, p49-77. 29p.

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter.

Authors: Asai, Manabu¹ (AUTHOR) m-asai@soka.ac.jp

Source: Econometrics (2225-1146). Sep2023, Vol. 11 Issue 3, p18. 14p.

Multivariate Hyper-Rotated GARCH-BEKK.

Authors: Asai, Manabu McAleer, Michael

Source: Journal of Time Series Econometrics. Jul2022, Vol. 14 Issue 2, p175-198. 24p.

Estimation of high-dimensional vector autoregression via sparse precision matrix.

Authors: Poignard, Benjamin Asai, Manabu

Source: Econometrics Journal. May2023, Vol. 26 Issue 2, p307-326. 20p.

Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models.

Authors: Asai, Manabu So, Mike K. P.

Source: Journal of Time Series Analysis. May2021, Vol. 42 Issue 3, p271-294. 24p.

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

Authors: Asai, Manabu So, Mike K. P.

Source: Communications in Statistics: Simulation & Computation. 2021, Vol. 50 Issue 2, p388-399. 12p.

Fellows and scholars of Econometric Reviews, 2024.

Authors: Sasaki, Yuya (AUTHOR)

Source: Econometric Reviews. 2025, Vol. 44 Issue 2, p245-245. 1p.

Multivariate stochastic volatility, leverage and news impact surfaces.

Authors: ASAI, MANABU MCALEER, MICHAEL

Source: Econometrics Journal. Jul2009, Vol. 12 Issue 2, p292-309. 18p. 7 Charts, 4 Graphs.

A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs.

Authors: Asai, Manabu Chang, Chia-Lin McAleer, Michael et al.

Source: Communications in Statistics: Case Studies & Data Analysis; 2022, Vol. 8 Issue 2, p215-233, 19p

Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates.

Authors: Asai, Manabu Peiris, Shelton McAleer, Michael et al.

Source: Journal of Time Series Econometrics. Jan2020, Vol. 12 Issue 1, p1-18. 18p.

Estimating Corporate Bond Market Volatility Using Asymmetric GARCH Models.

Authors: Hadad, Elroi Fridman, Amit Malka Yosef, Rami

Source: Risks. Nov2025, Vol. 13 Issue 11, p224. 16p.

"Fellows and Scholars of Econometric Reviews".

Authors: Maasoumi, Esfandiar¹ (AUTHOR)

Source: Econometric Reviews. 2021, Vol. 40 Issue 3, p217-219. 3p.

Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range.

Authors: Asai, Manabu^1,2

Source: Journal of Forecasting. Aug2013, Vol. 32 Issue 5, p469-480. 12p.

BAYESIAN ANALYSIS OF GENERAL ASYMMETRIC MULTIVARIATE GARCH MODELS AND NEWS IMPACT CURVES.

Authors: Asai, Manabu¹ m-asai@soka.ac.jp

Source: Journal of the Japan Statistical Society. 2015, Vol. 45 Issue 2, p129-144. 16p.

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes.

Authors: Asai, Manabu So, Mike K.P.

Source: Journal of Time Series Econometrics. Jan2015, Vol. 7 Issue 1, p69-94. 26p.

STOCHASTIC COVARIANCE MODELS.

Authors: Asai, Manabu So, Mike K. P.

Source: Journal of the Japan Statistical Society. 2013, Vol. 43 Issue 2, p127-162. 36p.

Forecasting the volatility of Nikkei 225 futures.

Authors: Asai, Manabu McAleer, Michael

Source: Journal of Futures Markets. Nov2017, Vol. 37 Issue 11, p1141-1152. 12p.