Manabu Asai : Citation Profile

Soka University

15

H index

22

i10 index

1044

Citations

RESEARCH PRODUCTION:

49

Articles

86

Papers

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 41
   Journals where Manabu Asai has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 91 (8.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pas73
   Updated: 2025-05-17    RAS profile: 2024-07-06    
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Relations with other researchers

Works with:

Chang, Chia-Lin (2)

Chen, Cathy W. S. (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Manabu Asai.

Is cited by:

GUPTA, RANGAN (74)

Omori, Yasuhiro (61)

Caporin, Massimiliano (51)

Pierdzioch, Christian (49)

Veiga, Helena (35)

Medeiros, Marcelo (26)

Ruiz, Esther (21)

Hallin, Marc (20)

Barigozzi, Matteo (20)

Chang, Chia-Lin (18)

Demirer, Riza (17)

Cites to:

Shephard, Neil (96)

Bollerslev, Tim (90)

Engle, Robert (70)

Hansen, Peter (48)

Yu, Jun (45)

Diebold, Francis (43)

Andersen, Torben (36)

Omori, Yasuhiro (35)

Lunde, Asger (33)

Harvey, Andrew (30)

Koopman, Siem Jan (29)

Main data

Where Manabu Asai has published?

Journals with more than one article published# docs
Econometric Reviews6
Journal of Econometrics5
Journal of Time Series Econometrics4
Applied Financial Economics3
Computational Economics3
Econometrics3
Journal of Forecasting2
Journal of Time Series Analysis2
Mathematics and Computers in Simulation (MATCOM)2
The North American Journal of Economics and Finance2
Computational Statistics & Data Analysis2
Econometrics and Statistics2
Econometrics Journal2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute19
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico17
Tinbergen Institute Discussion Papers / Tinbergen Institute13
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo10
KIER Working Papers / Kyoto University, Institute of Economic Research7
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo4
Papers / arXiv.org2
Working Papers / University of Pretoria, Department of Economics2
Discussion Papers in Economics and Business / Osaka University, Graduate School of Economics2

Recent works citing Manabu Asai (2025 and 2024)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588.

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2025Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Zhang, Chen ; Yu, Jun ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2024Goodnessâ€ofâ€fit tests for the multivariate Studentâ€t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Nielsen, Joshua. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403.

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2024Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods. (2024). Zhao, Rongjie ; Nie, HE ; Mo, Bin. In: Energy. RePEc:eee:energy:v:288:y:2024:i:c:s0360544223031535.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024Dynamic margin optimization. (2024). Dömötör, Barbara ; Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2024The impacts of geopolitical risks on gold, oil and financial reserve management. (2024). Hoang, Yen Hai ; Ngo, Vu Minh ; van Nguyen, Phuc. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724000552.

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2024Fostering sustainability: Exploring natural resources, mineral resources, and their impact on carbon reduction, economic growth. (2024). Guxue, Kaicheng ; Zhang, Jilu. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003465.

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2024The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Kao, Yu-Sheng ; Ku, Yu-Cheng ; Zhao, Kai ; Chuang, Hwei-Lin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:524-542.

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2024Exploring the ingredients, mixtures, and inclinations of geopolitical risk. (2024). Tamilselvan, M ; Kannadhasan, M ; Halder, Abhishek. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:187-206.

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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

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2024Volatility spillovers between energy and agriculture markets during the ongoing food & energy crisis: Does uncertainty from the Russo-Ukrainian conflict matter?. (2024). Tran, Minh Phuoc-Bao ; Vo, Duc Hong. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:208:y:2024:i:c:s0040162524005213.

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2024Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices. (2024). Pierdzioch, Christian ; GUPTA, RANGAN. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2952-:d:1483479.

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2024Second-Moment/Order Approximations by Kernel Smoothers with Application to Volatility Estimation. (2024). Laparra, Valero ; Martino, Luca ; Belea, Leon ; Curbelo, Ernesto. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:9:p:1406-:d:1388552.

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2024Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Karmakar, Sayar. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10452-w.

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2024RETRACTED ARTICLE: How does environmental performance ensured energy transition? Impact of ecological change. (2024). Liu, Zixin ; Zhang, Shuguang. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:2:d:10.1007_s10644-024-09636-7.

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2024Modelling and forecasting crude oil price volatility with climate policy uncertainty. (2024). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03561-w.

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2024Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments. (2024). Majumdar, Anandamayee ; GUPTA, RANGAN ; Muddana, Thanoj K. In: Working Papers. RePEc:pre:wpaper:202421.

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2024Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices. (2024). Pierdzioch, Christian ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:202423.

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2024Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Liu, Rui Peng ; Bouri, Elie ; Chuang, O-Chia. In: Working Papers. RePEc:pre:wpaper:202441.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2024Conditional sum of squares estimation of k-factor GARMA models. (2024). Beaumont, Paul ; Smallwood, Aaron D. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:3:d:10.1007_s10182-023-00482-y.

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2024Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets. (2024). Bogobska, Joanna ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00589-w.

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Works by Manabu Asai:

YearTitleTypeCited
2022High-Dimensional Sparse Multivariate Stochastic Volatility Models In: Papers.
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2023Highâ€dimensional sparse multivariate stochastic volatility models.(2023) In: Journal of Time Series Analysis.
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2024Factor multivariate stochastic volatility models of high dimension In: Papers.
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2021Quasiâ€maximum likelihood estimation of conditional autoregressive Wishart models In: Journal of Time Series Analysis.
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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics.
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2018Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates.(2018) In: Documentos de Trabajo del ICAE.
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2022Multivariate Hyper-Rotated GARCH-BEKK In: Journal of Time Series Econometrics.
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2023Realized BEKK-CAW Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2015Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article6
2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
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2010Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: Econometric Institute Research Papers.
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2009Block Structure Multivariate Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2010Alternative Asymmetric Stochastic Volatility Models In: Working Papers in Economics.
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2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CARF F-Series.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: Econometric Institute Research Papers.
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2010Alternative Asymmetric Stochastic Volatility Models.(2010) In: KIER Working Papers.
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2011Alternative Asymmetric Stochastic Volatility Models.(2011) In: Econometric Reviews.
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2009Alternative Asymmetric Stochastic Volatility Models.(2009) In: CIRJE F-Series.
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2010Dynamic Conditional Correlations for Asymmetric Processes In: Working Papers in Economics.
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2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CARF F-Series.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: Econometric Institute Research Papers.
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2010Dynamic Conditional Correlations for Asymmetric Processes.(2010) In: KIER Working Papers.
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2009Dynamic Conditional Correlations for Asymmetric Processes.(2009) In: CIRJE F-Series.
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2011Dynamic Conditional Correlations for Asymmetric Processes.(2011) In: Documentos de Trabajo del ICAE.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models In: Working Papers in Economics.
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2015Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.(2015) In: International Review of Economics & Finance.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Econometric Institute Research Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: KIER Working Papers.
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2013Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models.(2013) In: Tinbergen Institute Discussion Papers.
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2012Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models.(2012) In: Documentos de Trabajo del ICAE.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance In: Working Papers in Economics.
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2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance.(2015) In: Journal of Econometrics.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Tinbergen Institute Discussion Papers.
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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance.(2014) In: Documentos de Trabajo del ICAE.
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2007Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) In: CARF F-Series.
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2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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2006Multivariate Stochastic Volatility In: Microeconomics Working Papers.
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2007Multivariate stochastic volatility.(2007) In: CIRJE F-Series.
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2007Non-trading day effects in asymmetric conditional and stochastic volatility models In: Econometrics Journal.
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2009Multivariate stochastic volatility, leverage and news impact surfaces In: Econometrics Journal.
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2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
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2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2013Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil In: The North American Journal of Economics and Finance.
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2013Stress testing correlation matrices for risk management In: The North American Journal of Economics and Finance.
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2009The structure of dynamic correlations in multivariate stochastic volatility models In: Journal of Econometrics.
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2015Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing In: Journal of Econometrics.
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2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: KIER Working Papers.
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2013Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Tinbergen Institute Discussion Papers.
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2013Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing.(2013) In: Documentos de Trabajo del ICAE.
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2017Realized stochastic volatility with general asymmetry and long memory In: Journal of Econometrics.
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2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Econometric Institute Research Papers.
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2017Realized Stochastic Volatility with General Asymmetry and Long Memory.(2017) In: Tinbergen Institute Discussion Papers.
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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers In: Journal of Econometrics.
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2020Realized stochastic volatility models with generalized Gegenbauer long memory In: Econometrics and Statistics.
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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Econometric Institute Research Papers.
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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Tinbergen Institute Discussion Papers.
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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory.(2017) In: Documentos de Trabajo del ICAE.
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