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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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Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato - In: Empirical economics : a journal of the Institute for … 57 (2019) 1, pp. 79-104
Persistent link: https://www.econbiz.de/10012052257
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A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
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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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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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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