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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
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Dynamic hedging performance and downside risk : evidence from Nikkei index futures
Ubukata, Masato - In: International review of economics & finance : IREF 58 (2018), pp. 270-281
Persistent link: https://www.econbiz.de/10012034262
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Model-free implied volatility : from surface to index
Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463
Persistent link: https://www.econbiz.de/10009269385
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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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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