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Volatility
Japan
30
Volatilität
27
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23
Theory
23
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17
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17
ARCH model
14
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14
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5
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5
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Watanabe, Toshiaki
23
Ubukata, Masato
10
Omori, Yasuhiro
3
Takahashi, Makoto
3
Oya, Kosuke
2
Asai, Manabu
1
Chen, Cathy W. S.
1
Fukasawa, Masaaki
1
Harada, Kimie
1
Hsu, Hsiao-Yun
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Ishida, I.
1
Ishida, Isao
1
Liesenfeld, Roman
1
Maghrebi, N.
1
Nagakura, Daisuke
1
Nakajima, Jouchi
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Richard, Jean-François
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Global COE Hi-Stat discussion paper series
5
IMES discussion paper series
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of the Japanese and international economies : an international journal ; JJIE
2
The Japanese economic review : the journal of the Japanese Economic Association
2
Applied financial economics
1
Economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance research letters
1
International journal of forecasting
1
International journal of theoretical and applied finance
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Monetary and economic studies
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Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
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ECONIS (ZBW)
27
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2013
Persistent link: https://www.econbiz.de/10009689980
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Evaluating the performance of futures hedging using multivariate realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
- In:
Journal of the Japanese and international economies : …
38
(
2015
),
pp. 148-171
Persistent link: https://www.econbiz.de/10011481095
Saved in:
5
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2011
Persistent link: https://www.econbiz.de/10009311822
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato
;
Oya, Kosuke
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 201-218)
.
2009
Persistent link: https://www.econbiz.de/10003871191
Saved in:
10
Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki
;
Ubukata, Masato
-
2009
Persistent link: https://www.econbiz.de/10003854767
Saved in:
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