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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 inference for time varying partial adjustment model with application to intraday price discovery
Hatakenaka, Kenji; Oya, Kosuke - 2021
Persistent link: https://www.econbiz.de/10012799553
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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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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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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009311822