• Soka professor coauthors Journal of Econometrics paper


Soka professor coauthors Journal of Econometrics paper

    Professor Manabu Asai of Soka University’s Faculty of Economics co-published a paper entitled “Realized stochastic volatility with general asymmetry and long memory” in the August 2017 issue of the Journal of Economics together with Professor Michael McAllen of the University of Sydney and Professor Chia-Lin Chang of Taiwan’s National Chung Hsing University.
    The Journal of Econometrics has been publishing important new research in both theoretical and applied econometrics since 1973. Currently producing six issues per year, it is well recognized in its field. This is the fourth time for Prof. Asai’s work to be published in the journal.
    To cite the abstract, “The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory.” It also discusses how utilizing this new model can improve the accuracy of risk prediction.
    When asked about the publication, Asai remarked that he was happy to have been able to contribute to the global academic community in this way as a faculty member of Soka University and will continue engaging in his research in hopes that it will lead to the further development of the university.