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A time-varying common risk factor affecting corporate yield spreads

Kagraoka, Yusho - In: The European journal of finance 16 (2010) 5/6, pp. 527-539

Persistent link: https://www.econbiz.de/10008698566

Common dynamic factors in driving commodity prices : implications of a generalized dynamic factor model

Kagraoka, Yusho - In: Economic modelling 52 (2016), pp. 609-617

Persistent link: https://www.econbiz.de/10011642937

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13

In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE...

Persistent link: https://www.econbiz.de/10012372986

Are the risk-free interest rates correlated with sovereign default intensities?

Kagraoka, Yusho - In: The journal of fixed income 28 (2019) 4, pp. 91-103

Persistent link: https://www.econbiz.de/10012251389

Quantitative easing, credibility and the time-varying dynmics of the term structure of interest rate in Japan

Kagraoka, Yusho; Moussa, Zakaria - In: Journal of international financial markets, … 25 (2013), pp. 181-201

Persistent link: https://www.econbiz.de/10009762795

Estimation of the term structure of CDS-adjusted risk-free interest rates

Kagraoka, Yusho; Moussa, Zakaria - In: The journal of fixed income 24 (2014) 2, pp. 29-44

Persistent link: https://www.econbiz.de/10011660672