Rchr
J-GLOBAL ID：200901073524851119
Update date: Apr. 10, 2024
Asai Manabu
アサイ マナブ | Asai Manabu
Affiliation and department：
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 (16)：
- 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
- 2018 - 2019 Analysis on Long Memory for Interest Rates
- 2016 - 2019 Investigation of Long Memory Property in Realized Volatility
- 2015 - 2016 Long Memory in Volatility of Asset Returns
- 2013 - 2016 Long Memory and Asymmetry in Realized Covariance
- 2011 - 2013 Modeling and Forecasting Realized Covariance
- 2008 - 2012 Bayesian modeling for actuary and finance
- 2009 - 2011 On Evaluating Forecasts of Models for Realized Volatility
- 2007 - 2008 Risk analysis based on time-varying leverage models
- 2005 - 2006 多変量非対称SVモデルによる株式市場の分析
- 2005 - 2005 Multivariate Stochastic Volatility
- 1999 - 2002 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
- 1996 - 1999 Theoretical and empirical analysis on Financial Econometrics
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Papers (71)：
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Manabu Asai, Mike K. P. So. Linkage vector autoregressive model. Applied Stochastic Models in Business and Industry. 2024
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Manabu Asai. Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter. Econometrics. 2023. 11. 3. 1-18
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Benjamin Poignard, Manabu Asai. Estimation of high-dimensional vector autoregression via sparse precision matrix. The Econometrics Journal. 2023. 26. 2. 307-326
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Manabu Asai, Mike K. P. So. Realized BEKK-CAW Models. Journal of Time Series Econometrics. 2023. 15. 1. 49-77
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Benjamin Poignard, Manabu Asai. High-dimensional sparse multivariate stochastic volatility models. Journal of Time Series Analysis. 2023. 44. 1. 4-22
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MISC (20)：
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Manabu ASAI. Covariance Matrix of Quasi-Maximum Likelihood Estimator of ARFIMA Models. 創価経済論集. 2018. 47. 1. 55-66
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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
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浅井 学. Volatility. 立命館経済学 = The Ritsumeikan economic review : the bi-monthky journal of Ritsumeikan University. 2016. 64. 5. 619-634
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Manabu ASAI. Options Pricing Using the Fast Fourier Transform. 創価経済論集 = The Soka economic studies quarterly. 2016. 45. 1. 49-59
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Manabu ASAI. Initial Values on Quasi-Maximum Likelihood Estimation for BEKK Multivariate GARCH Models. 2015. 44. 1. 45-52
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Books (2)：
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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
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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 (39)：
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Accelerated Continuous Space Topic Model for Textual Data
(The 14th International Conference on Computational and Financial Econometrics, Virtual Conference 2020)
-
Quasi-Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models
(GSE-OSIPP Joint Seminar in Economics 2020)
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Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
(The 2nd International Conference on Econometrics and Statistics)
-
Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers
(The 14th International Symposium on Econometric Theory and Applications)
-
Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers
(Time Series Analysis of Higher Moments and Distributions of Financial Data, Institute of Advanced Studies)
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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
- 2005/04 - 2008/03 Soka University Faculty of Economics Associate Professor
- 2007/07 - 2007/09 Edith Cowan University - Joondalup, School of Accounting, Finance and Economics Visiting Scholar
- 2007/01 - 2007/03 De La Salle University - Manila Economics Department Visiting Professor
- 2005/08 - 2005/09 University of Western Australia. School of Economics and Commerce Visiting Scholar
- 2002/04 - 2005/03 Tokyo Metropolitan University Faculty of Economics Associate Professor
- 2004/02 - 2004/09 Duke University. Faculty of Economics Visiting Scholar
- 1999/04 - 2002/03 Ritsumeikan University. Faculty of Economics Associate Professor
- 1996/04 - 1999/03 The Japan Society for the Promotion of Science. Research Fellow
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Committee career (5)：
- 2018/10 - 現在 Japanese Journal of Statistics and Data Science Associate 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
- 2010/10 - 2018/10 Journal of the Japan Statistical Society Associate Editor
- 2010 - 2012 Japan Statistical Society Trustee
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
