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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

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

Term structure models during the global financial crisis: a parsimonious text mining approach

Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 26 (2019) 3, pp. 297-337

Persistent link: https://www.econbiz.de/10012309663

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

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

An asymptotic expansion approach to pricing financial contingent claims

Takahashi, Akihiko - In: Asia-Pacific financial markets 6 (1999) 2, pp. 115-151

Persistent link: https://www.econbiz.de/10001449307

Pricing convertible bonds with default risk

Takahashi, Akihiko; Kobayashi, Takao; Nakagawa, Naruhisa - In: The journal of fixed income 11 (2001) 3, pp. 20-29

Persistent link: https://www.econbiz.de/10001706057