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Margin requirements, positive feedback trading, and stock return autocorrelations : the case of Japan
Watanabe, Toshiaki - In: Applied financial economics 12 (2002) 6, pp. 395-403
Persistent link: https://www.econbiz.de/10001671112
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239366
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - In: Economics letters 120 (2013) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - 2012
Persistent link: https://www.econbiz.de/10009618591
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato; Watanabe, Toshiaki - 2013
Persistent link: https://www.econbiz.de/10009689980
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10009564870
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato; Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 65 (2014) 4, pp. 431-467
Persistent link: https://www.econbiz.de/10010499672
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Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model
Ishida, Isao; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003854412
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Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki; Ubukata, Masato - 2009
Persistent link: https://www.econbiz.de/10003854767
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Evaluating the performance of futures hedging using multivariate realized volatility
Ubukata, Masato; Watanabe, Toshiaki - In: Journal of the Japanese and international economies : … 38 (2015), pp. 148-171
Persistent link: https://www.econbiz.de/10011481095