A co-authored paper by Professor Manabu Asai of the Faculty of Economics and Business Administration has been published in an international academic journal.

A co-authored paper by Professor Manabu Asai of the Faculty of Economics and Business Administration has been published in an international academic journal (Note). This is a joint research project with Associate Professor Benjamin Poignard of the Faculty of Science and Technology at Keio University. Professor Asai and his colleagues developed a new estimation method for the fMSV model, which efficiently and accurately predicts the volatility risk of financial assets from vast amounts of financial data. They not only proved the statistical theory but also demonstrated that it yields better results than conventional prediction methods in actual asset management.

Regarding the publication, Professor Asai stated the following:
"Modern financial markets are overflowing with vast amounts of data every day, and accurately predicting the risks of financial assets from this data is an extremely important and difficult challenge in asset management. We hope that this achievement will contribute to the development of more stable asset management and risk management in practice."

(Note 1) Our co-authored paper, "Factor multivariate stochastic volatility models of high dimension," has been published in the academic journal *Econometric Reviews*.
https://doi.org/10.1080/07474938.2026.2673980​

Faculty Information

Professor

Manabu Asai

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Specialized Field

Financial Risk Management

Research theme

Financial asset risk modeling and prediction