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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239366
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Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach
Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19
Persistent link: https://www.econbiz.de/10015324226
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Stochastic volatility models with heavy-tailed distributions : a Bayesian analysis
Watanabe, Toshiaki; Asai, Manabu - 2001
Persistent link: https://www.econbiz.de/10001626509
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10009564870
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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