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Asai Manabu  浅井 学

… Alternative Names

ASAI Manabu  浅井 学

浅井 学  アサイ マナブ

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Researcher Number 90319484
Other IDs
  • ORCIDhttps://orcid.org/0000-0002-6682-4622
Affiliation (Current) 2025: 創価大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help 2007 – 2025: Soka University, 経済学部, 教授
2008: 創価大学, 経済学部, 准教授
2008: Soka University, 経済学部, 経済学部
2005 – 2006: 創価大学, 経済学部, 助教授
2000 – 2001: 立命館大学, 経済学部, 助教授
Review Section/Research Field
Principal Investigator
Economic statistics / Basic Section 07030:Economic statistics-related / Medium-sized Section 7:Economics, business administration, and related fields
Except Principal Investigator
Basic Section 62030:Learning support system-related / Public finance/Monetary economics / Economic statistics
Keywords
Principal Investigator
実現ボラティリティ / 実現共分散 / 非対称 / ボラティリティ / リスク / 高頻度 / 高次元 / 長期記憶 / 予測 / 非対称性 … More / 多変量 / リモートセンシングデータ / テキストデータ / リモートセンシング / レジリエンス構築 / 気候変動 / 確率的ボラティリティ変動モデル / 確率的ボラティリティモデル / 金融資産リスク / 高頻度データ / 高次元データ / 計量ファイナンス / 長期記憶性 / 動的相関係数行列 / 予測力 / リバレッジ効果 / 計量経済学 / 確率的ボラティリティ / リバレッジ … More
Except Principal Investigator
CBT / 学習支援 / 大規模言語モデル / 経営コード / 情報開示 / 資産価格形成 / 企業財務分析 / 数理ファイナンス / ネットワーク取引 / 実験経済学 / マイクロストラクチュア / リスク分析 / ファイナンス / アクチュアリー / ベイズ分析 / 経済統計学 Less
  • Research Projects

    (13 results)
  • Research Products

    (92 results)
  • Co-Researchers

    (23 People)
  •  高次元ボラティリティ変動モデルの特定化と予測Principal Investigator

    • Principal Investigator
      浅井 学
    • Project Period (FY)
      2025 – 2027
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Soka University
  •  Development of a Learning Support Platform Facilitating Skill Acquisition and Mind Cultivation

    • Principal Investigator
      小松川 浩
    • Project Period (FY)
      2024 – 2027
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Review Section
      Basic Section 62030:Learning support system-related
    • Research Institution
      Chitose Institute of Science and Technology
  •  Multivariate Stochastic Volatility Models for High-dimensional and High Frequency DataPrincipal Investigator

    • Principal Investigator
      浅井 学
    • Project Period (FY)
      2022 – 2024
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Soka University
  •  Building Resilience to the Effects and Risks of Climate ChangePrincipal Investigator

    • Principal Investigator
      浅井 学
    • Project Period (FY)
      2022 – 2024
    • Research Category
      Fund for the Promotion of Joint International Research (Fostering Joint International Research (B))
    • Review Section
      Medium-sized Section 7:Economics, business administration, and related fields
    • Research Institution
      Soka University
  •  Financial Risk Analysis using High Dimensional and/or High Frequency DataPrincipal Investigator

    • Principal Investigator
      Asai Manabu
    • Project Period (FY)
      2019 – 2021
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Soka University
  •  Investigation of Long Memory Property in Realized VolatilityPrincipal Investigator

    • Principal Investigator
      Asai Manabu
    • Project Period (FY)
      2016 – 2018
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  Long Memory and Asymmetry in Realized CovariancePrincipal Investigator

    • Principal Investigator
      ASAI MANABU
    • Project Period (FY)
      2013 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  Modeling and Forecasting Realized CovariancePrincipal Investigator

    • Principal Investigator
      ASAI Manabu
    • Project Period (FY)
      2011 – 2012
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  On Evaluating Forecasts of Models for Realized VolatilityPrincipal Investigator

    • Principal Investigator
      ASAI Manabu
    • Project Period (FY)
      2009 – 2010
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  Bayesian modeling for actuary and finance

    • Principal Investigator
      NAKATSUMA Teruo (NAKATUMA Teruo)
    • Project Period (FY)
      2008 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Keio University
  •  Risk analysis based on time-varying leverage modelsPrincipal Investigator

    • Principal Investigator
      ASAI Manabu
    • Project Period (FY)
      2007 – 2008
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  多変量非対称SVモデルによる株式市場の分析Principal Investigator

    • Principal Investigator
      浅井 学
    • Project Period (FY)
      2005 – 2006
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Economic statistics
    • Research Institution
      Soka University
  •  実験による、情報開示と投資家の情報処理能力が資産価格形成に果たす役割の研究

    • Principal Investigator
      松村 勝弘, 井澤 裕司
    • Project Period (FY)
      1999 – 2002
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Public finance/Monetary economics
    • Research Institution
      Ritsumeikan University

All 2023 2022 2021 2020 2019 2018 2017 2016 2015 2013 2012 2011 2010 2009 2008 2006 Other

All Journal Article Presentation

  • [Journal Article] Estimation of high-dimensional vector autoregression via sparse precision matrix2023

    • Author(s)
      Poignard Benjamin、Asai Manabu
    • Journal Title

      The Econometrics Journal

      Volume: -- Issue: 2 Pages: 307-326

    • DOI

      10.1093/ectj/utad003

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22K01429, KAKENHI-PROJECT-22K13377
  • [Journal Article] Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter2023

    • Author(s)
      Asai Manabu
    • Journal Title

      Econometrics

      Volume: 11 Issue: 3 Pages: 18-18

    • DOI

      10.3390/econometrics11030018

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-22K01429
  • [Journal Article] Realized BEKK-CAW Models2022

    • Author(s)
      Asai Manabu、So Mike K. P.
    • Journal Title

      Journal of Time Series Econometrics

      Volume: 15 Issue: 1 Pages: 49-77

    • DOI

      10.1515/jtse-2022-0009

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22K01429
  • [Journal Article] Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application2022

    • Author(s)
      Asai Manabu
    • Journal Title

      Econometrics and Statistics

      Volume: - Pages: 23-38

    • DOI

      10.1016/j.ecosta.2022.01.004

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] High‐dimensional sparse multivariate stochastic volatility models2022

    • Author(s)
      Poignard Benjamin, Asai Manabu
    • Journal Title

      Journal of Time Series Analysis

      Volume: - Issue: 1 Pages: 00-00

    • DOI

      10.1111/jtsa.12647

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594, KAKENHI-PROJECT-19K23193
  • [Journal Article] A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs2022

    • Author(s)
      Asai Manabu, Chang Chia-Lin, McAleer Michael, Pauwels Laurent
    • Journal Title

      Communications in Statistics: Case Studies, Data Analysis and Applications

      Volume: - Issue: 2 Pages: 215-233

    • DOI

      10.1080/23737484.2021.2017807

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers2022

    • Author(s)
      Asai Manabu, Chang Chia-Lin, McAleer Michael
    • Journal Title

      Journal of Econometrics

      Volume: 227 Issue: 1 Pages: 285-304

    • DOI

      10.1016/j.jeconom.2021.06.008

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Multivariate Hyper-Rotated GARCH-BEKK2022

    • Author(s)
      Asai Manabu, McAleer Michael
    • Journal Title

      Journal of Time Series Econometrics

      Volume: - Issue: 2 Pages: 175-198

    • DOI

      10.1515/jtse-2021-0006

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models2021

    • Author(s)
      Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels
    • Journal Title

      Econometrics

      Volume: 9 Issue: 2 Pages: 21-21

    • DOI

      10.3390/econometrics9020021

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Quasi-Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models2021

    • Author(s)
      Manabu Asai, Mike K.P. So
    • Journal Title

      Journal of Time Series Analysis

      Volume: 42 Issue: 3 Pages: 271-294

    • DOI

      10.1111/jtsa.12566

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Bayesian Analysis of Realized Matrix-Exponential GARCH Models2020

    • Author(s)
      Manabu Asai, Michael McAleer
    • Journal Title

      Computational Economics

      Volume: - Issue: 1 Pages: 103-123

    • DOI

      10.1007/s10614-020-10074-6

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations2020

    • Author(s)
      Cathy W. S. Chen, Hong Than-Thi, Manabu Asai
    • Journal Title

      Computational Economics

      Volume: - Issue: 2 Pages: 413-433

    • DOI

      10.1007/s10614-020-10034-0

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Bayesian non‐linear quantile effects on modelling realized kernels2020

    • Author(s)
      Manh Cuong Dong, Chen Cathy W. S. Chen, Manabu Asai
    • Journal Title

      International Journal of Finance & Economics

      Volume: - Issue: 1 Pages: 981-995

    • DOI

      10.1002/ijfe.2459

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks2020

    • Author(s)
      Manabu Asai, Rangan Gupta, and Michael McAleer
    • Journal Title

      International Journal of Forecasting

      Volume: 36 Issue: 3 Pages: 933-948

    • DOI

      10.1016/j.ijforecast.2019.10.003

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Journal Article] Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory2019

    • Author(s)
      Manabu Asai, Michael McAleer, and Shelton Peiris
    • Journal Title

      Econometrics and Statistics

      Volume: 掲載決定/電子版公開中 Pages: 1-12

    • DOI

      10.1016/j.ecosta.2018.12.005

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] A Simulation Smoother for Long Memory Time Series with Correlated and Heteroskedastic Additive Noise2019

    • Author(s)
      Manabu Asai, and Mike K.P. So
    • Journal Title

      Communications in Statistics - Simulation and Computation

      Volume: 掲載決定/電子版公開中 Issue: 2 Pages: 1-13

    • DOI

      10.1080/03610918.2018.1554120

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] カルマン・フィルターによるRealized Stochastic Volatilityモデルの擬似最尤推定について2019

    • Author(s)
      浅井 学
    • Journal Title

      日本統計学会誌 シリーズJ

      Volume: 48 Pages: 215-238

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Realized stochastic volatility with general asymmetry and long memory2017

    • Author(s)
      Manabu Asai, Chia-Lin Chang, and Michael McAleer
    • Journal Title

      Journal of Econometrics

      Volume: 199 Issue: 2 Pages: 202-212

    • DOI

      10.1016/j.jeconom.2017.05.010

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes2017

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      International Journal of Statistics and Probability

      Volume: 6 Issue: 6 Pages: 13-23

    • DOI

      10.5539/ijsp.v6n6p13

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models2017

    • Author(s)
      Shelton Peiris, Manabu Asai, and Michael McAleer
    • Journal Title

      Journal of Risk and Financial Management

      Volume: 10 Issue: 4 Pages: 1-16

    • DOI

      10.3390/jrfm10040023

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Forecasting the volatility of Nikkei 225 futures2017

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      Journal of Futures Markets

      Volume: 37 Issue: 11 Pages: 1141-1152

    • DOI

      10.1002/fut.21847

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited2016

    • Author(s)
      Shelton Peiris and Manabu Asai
    • Journal Title

      Econometrics

      Volume: 4 Issue: 3 Pages: 1-22

    • DOI

      10.3390/econometrics4030037

    • Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Journal Article] Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing2015

    • Author(s)
      Manabu Asai, Michael McAleer
    • Journal Title

      Journal of Econometrics

      Volume: 187 Issue: 2 Pages: 436-446

    • DOI

      10.1016/j.jeconom.2015.02.029

    • Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Journal Article] Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes2015

    • Author(s)
      Manabu Asai, Mike K.P. So
    • Journal Title

      Journal of Time Series Econometrics

      Volume: 7 Issue: 1 Pages: 69-94

    • DOI

      10.1515/jtse-2013-0012

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Journal Article] Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance2015

    • Author(s)
      Manabu Asai, Michael McAleer
    • Journal Title

      Journal of Econometrics

      Volume: 189 Issue: 2 Pages: 251-262

    • DOI

      10.1016/j.jeconom.2015.03.020

    • Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Journal Article] Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range2013

    • Author(s)
      Manabu Asai
    • Journal Title

      Journal of Forecasting

      Volume: 32 Issue: 5 Pages: 469-480

    • DOI

      10.1002/for.2252

    • Year and Date
      2013-06-07
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Journal Article] Forecasting Volatility Using Range Data : Analysis for Emerging Equity Markets in Latin America2012

    • Author(s)
      M.Asai, I.Brugal
    • Journal Title

      Applied Financial Economics

      Volume: 22 Issue: 6 Pages: 461-470

    • DOI

      10.1080/09603107.2011.617694

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Alternative asymmetric stochasticvolatility models2011

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      EconometricReviews

      Volume: 30 Pages: 548-564

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Alternative Asymmetric Stochastic Volatility Models2011

    • Author(s)
      M.Asai, M.McAleer
    • Journal Title

      Econometric Reviews

      Volume: 30 Issue: 5 Pages: 548-564

    • DOI

      10.1080/07474938.2011.553156

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Dynamic Conditional Correlations for Asymmetric Processes2011

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      Journal of the Japan Statistical Society

      Volume: 41 Pages: 143-157

    • NAID

      10030497251

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Journal Article] General Asymmetric Stochastic Volatility Models Using Range Data : Estimation and Empirical Evidence from Emerging Equity Markets2010

    • Author(s)
      Manabu Asai, Angelo Unite
    • Journal Title

      Applied Financial Economics

      Volume: 20 Pages: 1041-1049

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] The Structure of Dynamic Correlations with Multivariate Stochastic Volatility Models2009

    • Author(s)
      Asai, Manabu
    • Journal Title

      Journal of Econometrics 150

      Pages: 182-192

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Multivariate Stochastic Volatility, Leverage and News Impact Surface2009

    • Author(s)
      Asai, Manabu
    • Journal Title

      Econometrics Journal 12

      Pages: 292-309

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] The structure of dynamic correlations with multivariate stochastic volatility models2009

    • Author(s)
      Manabu Asai, Michael McAleer
    • Journal Title

      Journal of Econometrics 150

      Pages: 182-192

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Alternative Asymmetric Stochastic Volatility Models2009

    • Author(s)
      M. Asai and M. McAleer
    • Journal Title

      Econometric Reviews (掲載決定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19730162
  • [Journal Article] Bayesian Analysis of Stochastic Volatility Models with Mixture-of-Normal Distributions2009

    • Author(s)
      Asai, M.
    • Journal Title

      Mathematics and Computers in Simulation 79

      Pages: 2579-2596

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] The structure of dynamic correlationswith multivariate stochasticvolatility models2009

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      Journal ofEconometrics

      Volume: 150 Pages: 182-192

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Alternative Asymmetric Stochastic Volatility Models2008

    • Author(s)
      Asai, M. and M. McAleer
    • Journal Title

      Econometric Reviews (掲載決定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19730162
  • [Journal Article] Aportfolio index GARCH model2008

    • Author(s)
      Manabu Asai and Michael McAleer
    • Journal Title

      International Journal of Forecasting

      Volume: 24 Pages: 449-461

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] A Distribution-Free Test for Symmetry with an Application to S&P Index Returns2008

    • Author(s)
      Asai, M., U. Dashzeveg
    • Journal Title

      Applied Economics Letters 15

      Pages: 461-464

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Autoregressive Stochastic Volatility Models with Heavy-Tailed Distributions : A Comparison with Multifactor Volatility Models2008

    • Author(s)
      Asai, M.
    • Journal Title

      Journal of Empirical Finance 15

      Pages: 332-341

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] The Relationship between Stock Return Volatility and Trading Volume : The Case of the Philippines2008

    • Author(s)
      Asai, M., A. Unite
    • Journal Title

      Applied Financial Economics 18

      Pages: 1333-1348

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] A Portfolio Index GARCH Model2008

    • Author(s)
      Asai, M., M. McAleer
    • Journal Title

      International Journal of Forecasting 24

      Pages: 449-461

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] A portfolio index GARCH model2008

    • Author(s)
      Manabu Asai, Michael McAleer
    • Journal Title

      International Journal of Forecasting 24

      Pages: 449-461

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Journal Article] Asymmetric Multivariate Stochastic Volatility2006

    • Author(s)
      M.Asai, M.McAleer
    • Journal Title

      Econometric Reviews 25(2-3)

      Pages: 453-473

    • Data Source
      KAKENHI-PROJECT-17730147
  • [Journal Article] Asymmetric Multivariate Stochastic Volatility

    • Author(s)
      M.Asai, M.McAleer
    • Journal Title

      Econometric Reviews 掲載予定

    • Data Source
      KAKENHI-PROJECT-17730147
  • [Presentation] Dynamic Network Poisson Autoregression with An Application to Covid-19 Count Data2023

    • Author(s)
      Manabu Asai
    • Organizer
      The 25th International Conference on Computational Statistics (Hybrid Conference)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22K01429
  • [Presentation] Realized BEKK-CAW Models2022

    • Author(s)
      Manabu Asai
    • Organizer
      Asian Meeting of the Econometric Society in China 2022
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22K01429
  • [Presentation] Estimation of high dimensional vector autoregression via sparse precision matrix2021

    • Author(s)
      Manabu Asai
    • Organizer
      The 4th International Conference on Econometrics and Statistics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Presentation] Accelerated Continuous Space Topic Model for Textual Data2020

    • Author(s)
      Manabu Asai
    • Organizer
      The 14th International Conference on Computational and Financial Econometrics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K01594
  • [Presentation] 実現ボラティリティのモデル化と推定・予測について2018

    • Author(s)
      浅井 学
    • Organizer
      日本統計学会連合大会
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers2018

    • Author(s)
      Manabu Asai
    • Organizer
      The 14th International Symposium on Econometric Theory and Applications
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers2018

    • Author(s)
      Manabu Asai
    • Organizer
      Time Series Analysis of Higher Moments and Distributions of Financial Data
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory2018

    • Author(s)
      Manabu Asai
    • Organizer
      The 2nd International Conference on Econometrics and Statistics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers2017

    • Author(s)
      Manabu Asai
    • Organizer
      The 70th European Meeting of Econometric Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Realized Asymmetric Long Memory Stochastic Volatility Models2017

    • Author(s)
      Manabu Asai
    • Organizer
      The 1st International Conference on Econometrics and Statistics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Bayesian Analysis of Alternative Long Memory Stochastic Volatility Models Using Realized Volatility Measure2016

    • Author(s)
      Manabu Asai
    • Organizer
      International Society for Bayesian Analysis 2016 World Meeting
    • Place of Presentation
      サルディーニャ・イタリア
    • Year and Date
      2016-06-13
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] Bayesian Analysis of Alternative Long Memory Stochastic Volatility Models Using Realized Volatility Measure2016

    • Author(s)
      Manabu Asai
    • Organizer
      The 10th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      セビーリャ・スペイン
    • Year and Date
      2016-12-09
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K03603
  • [Presentation] The Impact of Jumps and Leverage in Forecasting Co-volatility2015

    • Author(s)
      Manabu Asai
    • Organizer
      The 11th World Congress of Econometric Society
    • Place of Presentation
      Montreal, Canada
    • Year and Date
      2015-08-17
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility2013

    • Author(s)
      Manabu Asai
    • Organizer
      The 9th Internatinal Symposium on Econometric Theory and Applications
    • Place of Presentation
      韓国・ソウル
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Asymmetry and Long Memory in Realized Covariance2013

    • Author(s)
      Manabu Asai
    • Organizer
      59th World Statistics Congress
    • Place of Presentation
      Hong Kong
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] A Fractionally Integrated Wishart Stochastic Volatility2013

    • Author(s)
      Manabu Asai
    • Organizer
      Asian Meeting of The Econometric Society
    • Place of Presentation
      シンガポール
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility2013

    • Author(s)
      Manabu Asai
    • Organizer
      China Meeting of Econometric Society
    • Place of Presentation
      中国・北京
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Extracting Dynamic Correlations from Stock Return and Realized Volatility2012

    • Author(s)
      Manabu Asai
    • Organizer
      The 32nd Annual International Symposium on Forecasting
    • Place of Presentation
      Boston, USA
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Long memory and asymmetry for matrix-exponential dynamic correlation processes2012

    • Author(s)
      Manabu Asai
    • Organizer
      The 6th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      Oviedo, Spain
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Long memory and asymmetry for matrix-exponential dynamic correlation processes2012

    • Author(s)
      Manabu Asai
    • Organizer
      The 6th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      the Conference and ExhibitionCentre "Ciudad de Oviedo", Oviedo, Spain
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Continuous Time Dynamic Correlation Model2011

    • Author(s)
      Manabu Asai
    • Organizer
      The 31st Annual International Symposium on Forecasting
    • Place of Presentation
      チェコ経済大学
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Heterogeneous Markets Effects for Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range2011

    • Author(s)
      Manabu Asai
    • Organizer
      5th CSDA International Conference on Computational and Financial Econometrics
    • Place of Presentation
      University of London, London, UK
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Heterogeneous Markets Effects for Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range2011

    • Author(s)
      浅井学
    • Organizer
      4th CSDA International Conference on Computational and Financial Econometrics
    • Place of Presentation
      ロンドン大学
    • Year and Date
      2011-12-19
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Continuous Time Dynamic Correlation Model2011

    • Author(s)
      Manabu Asai
    • Organizer
      Singapore Economic Review Conference 2011
    • Place of Presentation
      シンガポール, Mandarin Orchard Hotel
    • Data Source
      KAKENHI-PROJECT-23730218
  • [Presentation] Continuous timedynamic correlation model2011

    • Author(s)
      Manabu Asai
    • Organizer
      European Meetings of Econometric Society
    • Place of Presentation
      オスロ(ノルウェー)
    • Year and Date
      2011-08-27
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Heterogeneous marketseffects for asymmetric dynamicconditional correlation model withstock return and range2011

    • Author(s)
      Manabu Asai
    • Organizer
      CSDAInternational Conference onComputational Finance andEconometrics
    • Place of Presentation
      ロンドン(イギリス)
    • Year and Date
      2011-12-19
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Continuous Time Dynamic Correlation Model2011

    • Author(s)
      浅井学
    • Organizer
      European Meeting of Econometric Society 2011
    • Place of Presentation
      オスロ大学(カナダ)
    • Year and Date
      2011-08-27
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Continuous Time Dynamic Correlation Model2011

    • Author(s)
      浅井学
    • Organizer
      Asian Meeting of Econometric Society 2011
    • Place of Presentation
      コリア大学(韓国)
    • Year and Date
      2011-08-11
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      Manabu Asai
    • Organizer
      International Conference on Computational and Financial Econometrics 2010
    • Place of Presentation
      London, UK.
    • Data Source
      KAKENHI-PROJECT-21730177
  • [Presentation] Stochastic CovarianceModels2010

    • Author(s)
      Manabu Asai
    • Organizer
      Econometric Society WorldCongress 2010
    • Place of Presentation
      上海(中国)
    • Year and Date
      2010-08-20
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] The Structure of Conditional, Stochastic and Realized Covariance Matrices2010

    • Author(s)
      Manabu Asai
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      Tokyo.
    • Data Source
      KAKENHI-PROJECT-21730177
  • [Presentation] The Structure of Conditional, Stochastic and Realized Covariance Matrices2010

    • Author(s)
      Asai, Manabu
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      東京大学山上会館
    • Year and Date
      2010-02-05
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      浅井学
    • Organizer
      Econometric Society, World Congress 2010
    • Place of Presentation
      上海国際会議場
    • Year and Date
      2010-08-18
    • Data Source
      KAKENHI-PROJECT-21730177
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      浅井学
    • Organizer
      International Symposium on Financial Engineering and Risk Management 2010
    • Place of Presentation
      国立台湾大学
    • Year and Date
      2010-06-10
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      Manabu Asai
    • Organizer
      Econometric Society World Congress 2010
    • Place of Presentation
      上海
    • Year and Date
      2010-08-20
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      浅井学
    • Organizer
      Econometric Society, World Congress 2010
    • Place of Presentation
      上海国際会議場
    • Year and Date
      2010-08-20
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      浅井学
    • Organizer
      International Conference on Computational and Financial Econometrics 2010
    • Place of Presentation
      ロンドン大学
    • Year and Date
      2010-12-10
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Dynamic Conditional Correlations for Realized Covariances2009

    • Author(s)
      Asai, Manabu
    • Organizer
      International Symposium for Forecasting
    • Place of Presentation
      香港
    • Year and Date
      2009-06-24
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Causality Analysis for Structural VAR with Dynamic Covariance2009

    • Author(s)
      Asai, Manabu
    • Organizer
      Singapore Economic Review Conference
    • Place of Presentation
      Singapore
    • Year and Date
      2009-08-08
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Modeling andforecasting daily volatility withnoisy realized volatility measures2008

    • Author(s)
      Manabu Asai
    • Organizer
      Far Eastern Meeting of the EconometricSociety
    • Place of Presentation
      シンガポール(シンガポール)
    • Year and Date
      2008-07-16
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Modeling and forecasting daily volatility with noisy realized volatility measures2008

    • Author(s)
      Manabu Asai
    • Organizer
      Far Eastern Meeting of the Econometric Society
    • Place of Presentation
      シンガポール
    • Year and Date
      2008-07-16
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] A New Method for Estimating Integrated Volatility with Noisy Realized Volatility2008

    • Author(s)
      Asai, M.
    • Organizer
      The 28^<th> Annual Symposium on Forecasting
    • Place of Presentation
      Nice, France
    • Year and Date
      2008-06-23
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Modelling and Forecasting Daily Volatility with Noisy Realized Volatility Measures2008

    • Author(s)
      Asai, M.
    • Organizer
      Far Eastern Meeting of the Econometric Society
    • Place of Presentation
      Singapore, Singapore
    • Year and Date
      2008-07-16
    • Data Source
      KAKENHI-PROJECT-20243017
  • [Presentation] Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

    • Author(s)
      Manabu Asai
    • Organizer
      The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meetings
    • Place of Presentation
      Taipei, Taiwan
    • Year and Date
      2014-06-30 – 2014-07-03
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

    • Author(s)
      Manabu Asai
    • Organizer
      The 5th CEQURA Conference on Advances in Financial and Insurance Risk Management
    • Place of Presentation
      Munich, Germany
    • Year and Date
      2014-10-01 – 2014-10-02
    • Data Source
      KAKENHI-PROJECT-25380271
  • [Presentation] Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

    • Author(s)
      Manabu Asai
    • Organizer
      The 8th International Conference on Computational and Financial Econometrics
    • Place of Presentation
      Pisa, Italy
    • Year and Date
      2014-12-06 – 2014-12-08
    • Data Source
      KAKENHI-PROJECT-25380271
  • 1.  松村 勝弘 (40066733)
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