ASAI Manabu

J-GLOBAL         Last updated: Sep 28, 2019 at 15:40
 
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Name
ASAI Manabu
Affiliation
Soka University
Section
Faculty of Economics, Department of Economics, Soka University Faculty of Economics Department of Economics
Job title
Professor
Degree
Ph.D. in Economics(University of Tsukuba), M.S. in Economics(University of Tsukuba), B.A. in Economics(Soka University)

Research Areas

 
 

Academic & Professional Experience

 
2008
 - 
Today
, Professor, Faculty of Economics, Soka University.
 
2005
 - 
2008
, Associate Professor, Faculty of Economics, Soka University.
 
2002
 - 
2005
, Associate Professor, Faculty of Economics, Tokyo Metropolitan University.
 
1999
 - 
2002
, Associate Professor, Faculty of Economics, Ritsumeikan University.
 
1996
 - 
1999
, Research Fellow, the Japan Society for the Promotion of Science.
 

Education

 
 
 - 
1998
Quantitative Policy Analysis, Graduate School of Social Engineering, University of Tsukuba
 
 
 - 
1996
Quantitative Policy Analysis, Graduate School of Social Engineering, University of Tsukuba
 
 
 - 
1994
Department of Economics, Faculty of Economics, Soka University
 

Committee Memberships

 
2010
 - 
Today
Japan Statistical Society  Trustee
 

Awards & Honors

 
Jul 2018
Research Prize, Japan Statistical Society
 
2007
Marquis Who's Who in the World
 

Published Papers

 
Manabu Asai, Rangan Gupta and Michael McAleer
Energies   12(17) 3379   2019   [Refereed]
Manabu Asai
Journal of the Japan Statistical Society, Japanese Issue   48(2) 215-238   2018   [Refereed][Invited]
Peiris Shelton, Manabu Asai, McAleer Michael
JOURNAL OF RISK AND FINANCIAL MANAGEMENT   10(4)    Dec 2017   [Refereed]
Manabu Asai, Michael McAleer
Journal of Futures Markets   37(11) 1141-1152   Nov 2017   [Refereed]
Manabu Asai, Michael McAleer
International Journal of Statistics and Probability   6(6) 13   Sep 2017   [Refereed]
Asai Manabu, Chang Chia-Lin, McAleer Michael
JOURNAL OF ECONOMETRICS   199(2) 202-212   Aug 2017   [Refereed]
Asai M, McAleer M.
Econometric Reviews   36(1-3) 42-59   2017   [Refereed]
Asai Manabu, McAleer Michael
ECONOMETRIC REVIEWS   36(6-9) 638-650   2017   [Refereed]
Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai
Computational Statistics & Data Analysis   100 331-350   Aug 2016   [Refereed]
Manabu Asai, Shelton Peiris
Econometrics   4(37) 1-22   2016   [Refereed]
So M.K.P, Li R.W.M, Asai M, Jiang Y.
Journal of Forecasting   36(2) 139-155   2016   [Refereed]
Asai M, McAleer M.
Journal of Econometrics   189(2) 251-262   Dec 2015   [Refereed]
Asai M, Caporin M, McAleer M.
International Review of Economics and Finance   40 40-50   Nov 2015   [Refereed]
Asai M, McAleer M.
Journal of Econometrics   187(2) 436-446   Aug 2015   [Refereed]
Asai Manabu, So Mike K. P.
JOURNAL OF TIME SERIES ECONOMETRICS   7(1) 69-94   Jan 2015   [Refereed]
Manabu Asai
Journal of the Japan Statistical Society   45(2) 129-144   2015   [Refereed]
So M.K.P, Wong J, Asai M.
North American Journal of Economics and Finance   26 310-322   Dec 2013   [Refereed]
Asai M, Brugal I.
North American Journal of Economics and Finance   25 202-213   Aug 2013   [Refereed]
Asai M.
Journal of Forecasting   32(5) 469-480   Aug 2013   [Refereed]
Manabu Asai, Mike K.P. So
Journal of the Japan Statistical Society   43(2) 127-162   2013   [Refereed]
Ishihara T, Omori Y, Asai M.
Computational Statistics and Data Analysis   100 331-350   2013   [Refereed]
Asai M, Brugal I.
Applied Financial Economics   22(6) 461-470   2012   [Refereed]
Asai M, McAleer M, Medeiros M. C.
Journal of Financial Econometrics   10(3) 495-512   2012   [Refereed]
Asai M, McAleer M, Medeiros M.C.
Journal of Financial Econometrics   10(3) 495-512   2012   [Refereed]
Manabu Asai, Michael McAleer, Marcelo Medeiros
Computational Statistics & Data Analysis   56(1) 217-230   2012   [Refereed]
Manabu Asai, Michael McAleer
Journal of the Japan Statistical Society   41(2) 143-157   2011   [Refereed]
Manabu Asai, Michael McAleer
Econometric Reviews   30(5) 548-564   2011   [Refereed]
Manabu Asai, Michael McAleer
Econometric Reviews   24(3) 317-332   2011   [Refereed]
Manabu Asai, Angelo Unite
Applied Financial Economics   20(13) 1041-1049   2010   [Refereed]
Manabu Asai, Michael McAleer
Econometrics Journal   12(2) 292-309   2009   [Refereed]
Manabu Asai, Michael McAleer, 2009, 'Multivariate stochastic volatility, leverage and news impact surfaces', Econometrics Journal, vol. 12, no. 2, pp. 292-309
Manabu Asai, Michael McAleer
Econometrics Journal   12(2) 292-309   2009   [Refereed]
Manabu Asai
Mathematics and Computers in Simulation   79(8) 2579-2596   2009   [Refereed]
Siddhartha Chib, Yasuhiro Omori, Manabu Asai
T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Handbook of Financial Time Series, Springer-Verlag, New York   365-400   2009   [Refereed]
Manabu Asai, Michael McAleer
Journal of Econometrics   150(2) 182-192   2009   [Refereed]
Manabu Asai, Michael McAleer, Bernardo da Veiga
Mathematics and Computers in Simulation   78(2-3) 209-214   2008   [Refereed]
Manabu Asai, Angelo Unite
Applied Financial Economics   18(16) 1333-1341   2008   [Refereed]
Manabu Asai, Ulziijargal Dashzeveg
Applied Economics Letters   15(6) 461-464   2008   [Refereed]
Manabu Asai
Journal of Empirical Finance   15(2) 332-341   2008   [Refereed]
Manabu Asai, Michael McAleer
International Journal of Forecasting   24(3) 449-461   2008   [Refereed]
Manabu Asai, Michael McAleer
Econometrics Journal   10(1) 113-123   2007   [Refereed]
Manabu Asai, Michael McAleer
Econometric Reviews   25(2-3) 453-473   2006   [Refereed]
Manabu Asai, Michael McAleer, Jun Yu
Econometric Reviews   25(2-3) 145-175   2006   [Refereed]
Manabu Asai
Journal of the Japan Statistical Society   36(2) 199-212   2006   [Refereed]
Portfolio Single Index (PSI) Multivariate Volatility Models
Asai Manabu, McAleer Michael, da Veiga Bernardo
MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING   2288-2295   2005   [Refereed]
Dynamic Correlations in Symmetric Multivariate SV Models
Asai Manabu, McAleer Michael
MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING   2202-2209   2005   [Refereed]
Manabu Asai
Computaional Economics   25(3) 281-301   2005   [Refereed]
Manabu Asai
Asia-Pacific Financial Markets   7(4) 321-337   2000   [Refereed]
Manabu Asai
Applied Economics Letters   6(9) 539-541   1999   [Refereed]
Manabu Asai
University of Tsukuba      Nov 1998   [Refereed]
Manabu Asai
Journal of the Japan Statistical Society   28(1) 101-114   1998   [Refereed]
Manabu Asai, Tsunemasa Shiba
Asia-Pacific Financial Markets   2(3) 259-267   1995   [Refereed]

Misc

 
Manabu ASAI
創価経済論集   47(1) 55-66   Mar 2018
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Asai Manabu, McAleer Michael
PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017)   26 1-7   2017   [Refereed]
浅井 学
立命館経済学 = The Ritsumeikan economic review : the bi-monthky journal of Ritsumeikan University   64(5) 619-634   Mar 2016
Manabu ASAI
創価経済論集 = The Soka economic studies quarterly   45(1) 49-59   Mar 2016
Pricing Financial Derivatives via MCMC
Manabu Asai
H. Wago (ed.), Bayesian Econometrics; Markov chain Monte Carlo methods and their applications, Toyo Keizai, Tokyo   295-327   2013
浅井 学
創価経済論集   40(1) 45-49   Mar 2011
Manabu Asai
創価教育   (3) 269-270   Mar 2010
浅井 学
創価経済論集   39(1) 67-77   Mar 2010
浅井 学, 渡部 敏明
日本統計学会講演報告集   71 157-158   Sep 2003
浅井 学, 渡部 敏明
日本統計学会講演報告集   68 341-342   Jul 2000
A Method to Estimate Random Walk Stochastic Volatility Models
Manabu Asai
Far East Journal of Theoretical Statistics   3(1) 187-212   1999
Manabu Asai, Massimiliano Caporin, Michael McAleer
SSRN Electronic Journal      [Refereed]
Manabu Asai, Massimiliano Caporin, Michael McAleer, 'Block Structure Multivariate Stochastic Volatility Models', SSRN Electronic Journal

Books etc

 
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   

Conference Activities & Talks

 
Multivariate Stochastic Volatility: Leverage and News Impact Surfaces
Econometric Society European Meeting   2013   
The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models
International Symposium on Statistical Analysis of Spatio-Temporal Data   2013   
A New Method for Estimation and Forecasting with Noisy Realized Volatility
Far Eastern and South Asian Meeting of the Econometric Society   2013   
The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models
International Workshop on Bayesian Statistics and Applied Econometrics   2013   
Dynamic Conditional Correlations for Realized Covariances
International Symposium on Forecasting   2013   

Works

 
Analyais on Stock Markets via Asymmetric Multivariate Stochastic Volatility Models
2005 - 2006
Evaluation of Forecasting Performances of Realized Volatility Models
2009 - 2010
Bayesian Modeling on Actuary and Finance
2008 - 2012
Analysis on Financial Markets via Realized Volatility: Asymmetric Multivariate Models
2007 - 2007
Risk Analysis via Time-Varying Leverage Models
2007 - 2008

Research Grants & Projects

 
Specification and Forcasting on Realized Covariance
Grant-in-Aid for Scientific Research
Project Year: 2012 - 2013
Evaluation of Forecasting Performances on Realized Volatility
Grant-in-Aid for Scientific Research
Project Year: 2009 - 2011