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Market variance risk premiums in Japan for asset predictability
Ubukata, Masato; Watanabe, Toshiaki - In: Empirical economics : a journal of the Institute for … 47 (2014) 1, pp. 169-198
Persistent link: https://www.econbiz.de/10010379960
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Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato - In: Empirical economics : a journal of the Institute for … 57 (2019) 1, pp. 79-104
Persistent link: https://www.econbiz.de/10012052257
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A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
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Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009
Persistent link: https://www.econbiz.de/10003871191
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Bayesian analysis of dynamic bivariate mixture models : can they explain the behavior of returns and trading volume?
Watanabe, Toshiaki - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001469682
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Intraday price volatility and trading volume : a case of the Japanese government bond futures
Watanabe, Toshiaki - 1996
Persistent link: https://www.econbiz.de/10000926451
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Effects of the developments of knowledge-based economy on asset price movements : theory and evidence in the Japanese stock market
Nishimura, Kiyohiko; Watanabe, Toshiaki; Iwatsubo, Kentarō - 1998
Persistent link: https://www.econbiz.de/10000997516
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Estimation of dynamic bivariate mixture models : comments on Watanabe (2000)
Liesenfeld, Roman; Richard, Jean-François - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 570-576
Persistent link: https://www.econbiz.de/10001807032