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High-frequency realized stochastic volatility model
Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
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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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Market variance risk premiums in Japan as predictor variables and indicators of risk aversion
Ubukata, Masato; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009423458
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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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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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Stock return predictability and variance risk premia around the ZLB
Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020
Persistent link: https://www.econbiz.de/10013461530
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842