Narrow search
Showing 1 - 7 of 7
Cover Image
Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
Nagakura, Daisuke - 2007
Persistent link: https://www.econbiz.de/10003595183
Cover Image
A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229
Cover Image
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
Cover Image
News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - In: Economics letters 120 (2013) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
Cover Image
News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - 2012
Persistent link: https://www.econbiz.de/10009618591
Cover Image
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
Cover Image
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