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Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix

Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix
Paper文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2021-04Discussion Papers In Economics And Business21-03p.1-66
Other Libraries in Japan
  • Author HeadingPoignard, Benjamin Asai, Manabu

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
Paper文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2020-01Discussion Papers In Economics And Business20-02p.1-46
Other Libraries in Japan
  • Author HeadingPoignard, Benjamin Asai, Manabu

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan
  • Author HeadingIshihara, Tsunehiro Omori, Yasuhiro Asai, Manabu

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

A Fractionally Integrated Wishart Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-02KIER Discussion Paper848
Available onlineOther Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Digital文書・図像類
McAleer, Michael, Asai, Manabu, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper812
Available onlineOther Libraries in Japan
  • Author HeadingMcAleer, Michael Asai, Manabu Caporin, Massimiliano

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-812
Other Libraries in Japan
  • Author HeadingIshihara, Tsunehiro Omori, Yasuhiro Asai, Manabu

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper739
Available onlineOther Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

Dynamic Conditional Correlations for Asymmetric Processes

Dynamic Conditional Correlations for Asymmetric Processes
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper747
Available onlineOther Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
Digital文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.Institute of Economic Research, Kyoto University2011-01KIER Discussion Paper758
Available onlineOther Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael Medeiros, Ma...

Block Structure Multivariate Stochastic Volatility Models

Block Structure Multivariate Stochastic Volatility Models
Paper文書・図像類
Asai, Manabu, Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-699
Other Libraries in Japan
  • Author HeadingAsai, Manabu Caporin, Massimiliano McAleer...

Dynamic Conditional Correlations for Asymmetric Processes

Dynamic Conditional Correlations for Asymmetric Processes
Paper文書・図像類
Asai, Manabu, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-657
Other Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

Essays in nonstationary financial time series

Essays in nonstationary financial time series
PaperDigital博士論文障害者向け資料あり
浅井学 [著]<UT51-2000-C480>
Available onlineNational Diet Library

Modelling and Forecasting Noisy Realized Volatility

Modelling and Forecasting Noisy Realized Volatility
Paper文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-669
Other Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael Medeiros, Ma...

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Paper文書・図像類
Asai, Manabu, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-655
Other Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael

Asymmetry and Leverage in Realized Volatility

Asymmetry and Leverage in Realized Volatility
Paper文書・図像類
Asai, Manabu, McAleer, Michael, Medeiros, Marcelo C.日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-656
Other Libraries in Japan
  • Author HeadingAsai, Manabu McAleer, Michael Medeiros, Ma...

Multivariate stochastic volatility

Multivariate stochastic volatility
Paper文書・図像類
Chib, Siddhartha, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2007-04Discussion paper series. CIRJE-FCIRJE-F-488
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  • Author HeadingChib, Siddhartha Omori, Yasuhiro Asai, Manabu

ＩＭＥＳ　ＤＩＳＣＵＳＳＩＯＮ　ＰＡＰＥＲ　Ｅ　ＳＥＲＩＥＳ ２００１－Ｅ－１７

ＩＭＥＳ　ＤＩＳＣＵＳＳＩＯＮ　ＰＡＰＥＲ　Ｅ　ＳＥＲＩＥＳ ２００１－Ｅ－１７
Paper図書
ＩＮＳＴＩＴＵＴＥ　ＦＯＲ　ＭＯＮＥＴＡＲＹ2001.11
Other Libraries in Japan

各種肺疾患における血清および気管支肺胞洗浄液のタイプⅢプロコラーゲンNターミナルペプタイドおよびフィブロネクチンの検討

各種肺疾患における血清および気管支肺胞洗浄液のタイプⅢプロコラーゲンNターミナルペプタイドおよびフィブロネクチンの検討
PaperDigital博士論文
浅井学 [著]<UT51-89-W234>
Available onlineNational Diet Library

Stochastic volatility models with heavy-tailed distributions : a bayesian analysis

Stochastic volatility models with heavy-tailed distributions : a bayesian analysis
Paper図書
Toshiaki Watanabe and Manabu AsaiBank of Japan. Institute for Monetary and Economic Studies2001
Other Libraries in Japan
  • Author HeadingWatanabe, Toshiaki Asai, Manabu
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