浅井, 学 (社会経済) アサイ, マナブ

ID:DA15847037

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1

Multi-factor stochastic volatility models : a comparison to heavy-tailed or higher-order autoregressive volatility models

Manabu Asai

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 33

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2

Dynamic asymmetric leverage in stochastic volatility models

Manabu Asai, Michael McAleer

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 29

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3

Dynamic leverage and threshold effects in stochastic volatility models

Manabu Asai, Michael McAleer

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 20

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4

Stock return volatility and trading volume : a Bayesian impulse response analysis

Manabu Asai, Toshiaki Watanabe

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 19

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5

Comparison of MCMC methods for estimating GARCH models

Manabu Asai, Toshiaki Watanabe

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 18

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6

Trading day effects in stochastic volatility and exponential GARCH models

Manabu Asai, Michael McAleer

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 17

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7

Stochastic volatility models with heavy-tailed distributions : a Bayesian analysis

Toshiaki Watanabe, Manabu Asai

Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2003 COE discussion paper series no. 1

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8

グリーン計量経済分析

William H. Greene著 ; 斯波恒正, 中妻照雄, 浅井学訳

エコノミスト社 2003.9 改訂新版経済学大系シリーズ

: (セット) , 1 , 2

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浅井, 学 (社会経済) アサイ, マナブ

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