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~institution:"Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics"
~person:"Nishimura, Kiyohiko G."
~person:"Sato, Seisho"
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Nishimura, Kiyohiko G.
Sato, Seisho
Takahashi, Akihiko
90
Okazaki, Tetsuji
89
Kubokawa, Tatsuya
87
McAleer, Michael
77
Matsushima, Hitoshi
63
Kunitomo, Naoto
51
Omori, Yasuhiro
51
Miwa, Yoshiro
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Obinata, Takashi
36
Fukuda, Shin-ichi
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Ramseyer, J. Mark
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Tabuchi, Takatoshi
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Chang, Chia-Lin
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Takemura, Akimichi
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Khan, Haider Ali
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Okuno-Fujiwara, Masahiro
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Ueda, Kazuo
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Hayashi, Masayoshi
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Kamiya, Kazuya
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Shiraya, Kenichiro
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Srivastava, Muni S.
14
Abe, Makoto
12
Chen, Joe
12
Mochida, Nobuki
12
Nakajima, Jouchi
12
Sugawara, Shinya
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Choi, Yun Jeong
11
Kandori, Michihiro
11
Matsushita, Yukitoshi
11
Srivastava, M. S.
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Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics
Center for Advanced Research in Finance, Faculty of Economics
7
Faculty of Economics, University of Tokyo
3
Economics Department, Organisation de Coopération et de Développement Économiques (OCDE)
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32
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1
"
Economics
of Self-Feeding Fear"
Nishimura, Kiyohiko G.
;
Ozaki, Hiroyuki
-
Center for International Research on the Japanese …
-
2002
procedure or its variant, which is considered as rational in the theory of
economics
, her confidence erodes after having new …
Persistent link: https://www.econbiz.de/10005465290
Saved in:
2
"The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling"
Kunitomo, Naoto
;
Misaki, Hiroumi
;
Sato, Seisho
-
Center for International Research on the Japanese …
-
2015
For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and...
Persistent link: https://www.econbiz.de/10011246093
Saved in:
3
"A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises"
Sato, Seisho
;
Kunitomo, Naoto
-
Center for International Research on the Japanese …
-
2015
For estimating the integrated volatility by using high frequency data, Kunitomo and Sato (2008, 2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic...
Persistent link: https://www.econbiz.de/10011240307
Saved in:
4
"An FBSDE Approach to American Option Pricing with an Interacting Particle Method"
Fujii, Masaaki
;
Sato, Seisho
;
Takahashi, Akihiko
-
Center for International Research on the Japanese …
-
2012
In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic dierential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...
Persistent link: https://www.econbiz.de/10010937213
Saved in:
5
"A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors"
Sato, Seisho
;
Kunitomo, Naoto
-
Center for International Research on the Japanese …
-
2011
For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a, b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...
Persistent link: https://www.econbiz.de/10010615636
Saved in:
6
"Measuring Business Conditions and A Smoothing Problem : A Case of Japanese GDP" (in Japanese)
Sato, Seisho
;
Kunitomo, Naoto
-
Center for International Research on the Japanese …
-
2010
The Japanese Government reports the annualized estimates of the growth rates of GDP and its main components once in 3 months, and then revises them once in a while. There have been some critical comments on the accuracy of those numbers mainly from economists who want to evaluate the current...
Persistent link: https://www.econbiz.de/10008542240
Saved in:
7
"On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise"
Kunitomo, Naoto
;
Sato, Seisho
-
Center for International Research on the Japanese …
-
2010
For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and...
Persistent link: https://www.econbiz.de/10008483845
Saved in:
8
"Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise"
Kunitomo, Naoto
;
Sato, Seisho
-
Center for International Research on the Japanese …
-
2010
For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...
Persistent link: https://www.econbiz.de/10008620607
Saved in:
9
"On some issues of macro-economic statistics in Japan : seasonality, structural change and statistical smoothing" (in Japanese)
Kunitomo, Naoto
;
Sato, Seisho
-
Center for International Research on the Japanese …
-
2010
We investigate some issues of macro-economic statistics in Japan including the housing investment, the private non-residential investment and the quarterly (preliminary) GDP estimates. We illustrate the problems associated with the seasonality and structural break in recent Japanese...
Persistent link: https://www.econbiz.de/10008763308
Saved in:
10
"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment"
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
-
Center for International Research on the Japanese …
-
2009
This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...
Persistent link: https://www.econbiz.de/10004995375
Saved in:
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