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J-GLOBAL ID：200901073524851119   Update date: Mar. 05, 2025

Asai Manabu

アサイ マナブ | Asai Manabu
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Affiliation and department：
Soka University Faculty of Economics

About Soka University Faculty of Economics


Job title： Professor
Homepage URL  (1)： https://sites.google.com/view/manabu-asai
Research field  (1)： Economic statistics
Research keywords  (5)： Forecasting ,  Statistics ,  Financial Econometrics ,  Time Series Analysis ,  Econometrics
Research theme for competitive and other funds  (17)：
  • 2024 - 2028 Development of a Learning Support Platform Facilitating Skill Acquisition and Mind Cultivation
  • 2022 - 2025 Building Resilience to the Effects and Risks of Climate Change
  • 2022 - 2025 Multivariate Stochastic Volatility Models for High-dimensional and High Frequency Data
  • 2021 - 2024 Linkage Vector Autoregression
  • 2019 - 2022 Financial Risk Analysis using High Dimensional and/or High Frequency Data
Show all
Papers (72)：
  • Manabu Asai, Mike K. P. So. Linkage vector autoregressive model. Applied Stochastic Models in Business and Industry. 2024. 40. 4. 850-862
  • Manabu Asai, Amanda M. Y. Chu, Mike K. P. So. Dynamic Network Poisson Autoregression with Application to COVID-19 Count Data. Journal of Data Science. 2024. 23. 1. 208-224
  • Manabu Asai. Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter. Econometrics. 2023. 11. 3. 1-18
  • Benjamin Poignard, Manabu Asai. Estimation of high-dimensional vector autoregression via sparse precision matrix. The Econometrics Journal. 2023. 26. 2. 307-326
  • Manabu Asai, Mike K. P. So. Realized BEKK-CAW Models. Journal of Time Series Econometrics. 2023. 15. 1. 49-77
ｍore...
MISC (23)：
  • Manabu Asai. Analysis for Increasing Vaccination Rate at Soka University. Journal of Leaner-Centered Higher Education. 2023. 12. 101-107
  • Manabu Asai. Asymptotic Theory for Robust Autocorrelation Test under Stochastic Volatility. Soka Economic Studies Quarterly. 2020. 49. 1. 55-76
  • Manabu Asai. Analysis on UK Interest Rates via Long Memory Models. Soka Economic Studies Quarterly. 2019. 48. 1. 133-146
  • Manabu ASAI. Covariance Matrix of Quasi-Maximum Likelihood Estimator of ARFIMA Models. 創価経済論集. 2018. 47. 1. 55-66
  • Asai Manabu, McAleer Michael. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017). 2017. 26. 1-7
ｍore...
Books (2)：
  • 先物金利モデルの予測力:HJMモデルを中心として
    森棟公夫・刈谷武昭編『リスク管理と金融・証券投資戦略』東洋経済新報社 1998
  • The Forecasting Performance of Models of Interests Futures: HJM Models and Others
    K. Morimune and T. Kariya, eds., Risuku Kanri to Kin'yu-Syoken Toushi Senryaku, Toyo Keizai, Tokyo 1998
Lectures and oral presentations  (46)：
  • High-dimensional sparse factor multivariate stochastic volatility models
    (The 18th International Joint Conference on Computational and Financial Econometrics (CFE) and Computational and Methodological Statistics (CMStatistics) 2024)
  • High-dimensional sparse factor multivariate stochastic volatility models
    (The 7th International Conference on Econometrics and Statistics (EcoSta 2024) 2024)
  • Linkage GARCH Model
    (The EAC-ISBA conference 2024, 2024)
  • Dynamic Network Poisson Autoregression with An Application to Covid-19 Count Data
    (The 25th International Conference on Computational Statistics)
  • Linkage Vector Autoregressive Model
    (The 6th EAC-ISBA conference)
ｍore...
Education (2)：
  • 1994 - 1998 University of Tsukuba
  • 1990 - 1994 Soka University Faculty of Economics Department of Economics
Professional career (3)：
  • Ph.D. in Economics (University of Tsukuba)
  • M.S. in Economics (University of Tsukuba)
  • B.A. in Economics (Soka University)
Work history (13)：
  • 2008 - 現在 Soka University Faculty of Economics Professor
  • 2012/04 - 2013/03 University of Pennsylvania Wharton School Visiting Scholar
  • 2011/04 - 2012/03 University of Tokyo. Gradiate School of Agricultural and Life Sciences Adjunctive Professor
  • 2007 - 2011 Chiang Mai University Faculty of Economics Adjunctive Professor
  • 2008/02 - 2008/03 Pontifical Catholic University of Rio de Janeiro, Brazil Department of Economics Visiting Scholar
Show all
Committee career (6)：
  • 2023/04 - 現在 Japanese Journal of Statistics and Data Science Coordinating Editor
  • 2010/10 - 現在 日本統計学会 統計教育委員
  • 2010 - 現在 Asia-Pacific Financial Markets Associate Editor
  • 2018/10 - 2023/03 Japanese Journal of Statistics and Data Science Associate Editor
  • 2010/10 - 2018/10 Journal of the Japan Statistical Society Associate Editor
Show all
Awards (2)：
  • 2018/07 - Japan Statistical Society Research Prize
  • 2007 - Marquis Who's Who in the World
Association Membership(s) (3)：
Econometric Society ,  Japan Statistical Society ,  Japanese Economic Association
※ Researcher’s information displayed in J-GLOBAL is based on the information registered in researchmap. For details, see here.

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