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On financial time series decompositions with applications to volatility

Doksum, Kjell A.; Miura, Ryozo; Yamauchi, Hiroaki - 1998

Persistent link: https://www.econbiz.de/10000990977

The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

Miura, Ryozo; Yamauchi, Hiroaki - In: Asia-Pacific financial markets 5 (1998) 2, pp. 129-158

Persistent link: https://www.econbiz.de/10001372064

Spacing estimation of the asymptotic variance of trimmed rank estimators of location

Miura, Ryozo - In: Scandinavian journal of statistics : SJS ; theory and … 8 (1981) 1, pp. 48-54

Persistent link: https://www.econbiz.de/10002500090

Special issue: A benchmark approach

Miura, Ryozo (contributor) - 2004

Persistent link: https://www.econbiz.de/10003084096

Decomposition of Japanese Yen interest rate data through local regression

Shibata, Ritei - In: Financial engineering and the Japanese markets 4 (1997) 2, pp. 125-146

Persistent link: https://www.econbiz.de/10001240945

Edokko options : a new framework of barrier options

Fujita, Takahiko; Miura, Ryozo - In: Asia-Pacific financial markets 9 (2002) 2, pp. 141-151

Persistent link: https://www.econbiz.de/10001758329

Credit Risk Modeling with Delayed Information

Adachi, Takanori - 2013

We introduce a notion of market times that are stochastic processes in order to represent information delay in structural credit risk models. The market times are extensions of the time change process introduced by Guo, Jarrow and Zeng in the sense that each component of the market time is not...

Persistent link: https://www.econbiz.de/10013087222

The distribution of continuous time rank processes

Fujita, Takahiko; Miura, Ryozo - In: Advances in mathematical economics 9 (2006), pp. 25-32

Persistent link: https://www.econbiz.de/10003331351

A note on statistical models for individual hedge fund returns

Miura, Ryozo; Aoki, Yoshimitsu; Yokouchi, Daisuke - In: Mathematical methods of operations research 69 (2009) 3, pp. 553-577

Persistent link: https://www.econbiz.de/10003858278