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Estimation of asymmetrical volatility for asset prices : the simultaneous switching ARIMA approach
Kunitomo, Naoto; Sato, Seisho - 1996
Persistent link: https://www.econbiz.de/10000950664
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Asymmetry in economic time series and the simultaneous switching autoregressive model
Kunitomo, Naoto - In: Structural change and economic dynamics : SC+ED 7 (1996) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001196687
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Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise
Kunitomo, Naoto; Sato, Seisho - In: The North American journal of economics and finance : a … 26 (2013), pp. 282-309
Persistent link: https://www.econbiz.de/10010365764
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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 - In: Asia-Pacific financial markets 22 (2015) 3, pp. 333-368
Persistent link: https://www.econbiz.de/10011524812
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Backward smoothing for noisy non-stationary time series
Sato, Seisho; Kunitomo, Naoto - 2021
Persistent link: https://www.econbiz.de/10012813370
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Frequency regression and smoothing for noisy nonstationary time series
Sato, Seisho; Kunitomo, Naoto - 2021
Persistent link: https://www.econbiz.de/10012813391
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Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705