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Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series

Kunitomo, Naoto; Sato, Seisho - In: The Japanese economic review : the journal of the … 50 (1999) 2, pp. 161-190

Persistent link: https://www.econbiz.de/10001470186

Estimation of asymmetrical volatility for asset prices : the simultaneous switching ARIMA approach

Kunitomo, Naoto; Sato, Seisho - 1996

Persistent link: https://www.econbiz.de/10000950664

Asymmetry in economic time series and the simultaneous switching autoregressive model

Kunitomo, Naoto - In: Structural change and economic dynamics : SC+ED 7 (1996) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001196687

On the simultaneous switching autoregressive model

Kunitomo, Naoto; Sato, Seisho - In: Nonlinear statistical modeling : proceedings of the …, (pp. 363-391). 2000

Persistent link: https://www.econbiz.de/10001587933

[Rezension von: Handbook of econometrics, Vol. 2, ed. by Zvi Griliches ..]

Kunitomo, Naoto - In: Journal of economic literature 24 (1986) 1, pp. 101-102

Persistent link: https://www.econbiz.de/10001341356

Improving the Parkinson method of estimating security price volatilities

Kunitomo, Naoto - In: The journal of business : B 65 (1992) 2, pp. 295-302

Persistent link: https://www.econbiz.de/10001124145

Approximate distributions and power of test statistics for overidentifying restrictions in a system of simultaneous equations

Kunitomo, Naoto - In: Econometric theory 4 (1988) 2, pp. 248-274

Persistent link: https://www.econbiz.de/10001052651

Probability distribution and option pricing for drawdown in a stochastic volatility environment

Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354

Persistent link: https://www.econbiz.de/10008860388

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Dynamic Instrument Rules Based on Time Varying Coefficients Vector Autoregressive Modeling and Forecast-Based Monetary Policy

Yano, Koiti; Sato, Seisho - 2005

This paper proposes a method to construct monetary instrument rules whose coefficients are time varying. We refer the instrument rules as the dynamic instrument rules. Our approach is a statistical and practical tool for the central bank to achieve some specified targets. The dynamic instrument...

Persistent link: https://www.econbiz.de/10014066965