Manabu Asai

Economics and Econometrics · 2006–2020

A researcher in the Science corpus: 6 papers; trusts 46 researchers and is trusted by 13 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 105 citations into it; #4,803 of 23,481 by trust here, #5,251 by citations
• Finance — 105 citations into it; #2,251 of 10,518 by trust here, #2,179 by citations
• Statistics and Probability — 34 citations into it
• Artificial Intelligence — 11 citations into it
• Management Science and Operations Research — 6 citations into it

Whom Manabu Asai trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Jun Yu
3. Roman Liesenfeld
4. Christian Gouriéroux
5. Ruey S. Tsay
6. Alexander Philipov
7. Siddhartha Chib
8. N. Shephard
9. Jean-François Richard
10. Daniel B. Nelson

Who trusts Manabu Asai overall

1. Michael Mcaleer
2. Siddhartha Chib
3. Xin Jin
4. Matteo Barigozzi
5. Yasuhiro Omori
6. John M. Maheu
7. Gregory H. Bauer
8. Marcelo C. Medeiros
9. Marc Hallin
10. Diaa Noureldin

Papers from Manabu Asai's perspective

Ordered by how strongly the researchers Manabu Asai trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Bayesian Dynamic Factor Models and Portfolio Allocation
3. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
4. Stochastic Volatility: Selected Readings
5. Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics
6. Efficient high-dimensional importance sampling
7. Multivariate Stochastic Volatility via Wishart Processes
8. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
9. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
10. Analysis of high dimensional multivariate stochastic volatility models

Their papers

• Multivariate Stochastic Volatility: A Review (2006) — 365 citations
• Multivariate stochastic volatility (2009) — 187 citations
• The structure of dynamic correlations in multivariate stochastic volatility models (2009) — 111 citations
• Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (2020) — 134 citations
• Alternative Asymmetric Stochastic Volatility Models (2009) — 53 citations
• Autoregressive Stochastic Volatility Models with Heavy-tailed Distributions: A Comparison with Multifactor Volatility Models (2008) — 52 citations