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scientific article; zbMATH DE number 7660124

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7660124

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scholarly article

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10.11329/jjssj.51.1

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Tsunehiro Ishihara

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publication date

7 March 2023

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Mathematics Subject Classification ID

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zbMATH DE Number

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Handbook of Financial Time Series

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A New Parametrization of Correlation Matrices

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Multivariate stochastic volatility, leverage and news impact surfaces

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Long memory and asymmetry for matrix-exponential dynamic correlation processes

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Multivariate Stochastic Volatility: A Review

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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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Realized stochastic volatility with general asymmetry and long memory

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Subsampling realised kernels

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Handbook of Volatility Models and Their Applications

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GMM estimation of a realized stochastic volatility model: A Monte Carlo study

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Efficient Semiparametric Estimation of the Fama-French Model and Extensions

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Empirical modeling of exchange rate dynamics

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On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

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A multiple indicators model for volatility using intra-daily data

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Common risk factors in the returns on stocks and bonds

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Optimum thresholding using mean and conditional mean squared error

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Introduction to Bayesian Econometrics

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Matrix exponential stochastic volatility with cross leverage

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A Test for Normality of Observations and Regression Residuals

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Matrix exponential GARCH

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On a measure of lack of fit in time series models

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IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

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Block sampler and posterior mode estimation for asymmetric stochastic volatility models

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Volatility forecast comparison using imperfect volatility proxies

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Evaluating Volatility and Correlation Forecasts

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Estimating stochastic volatility models using daily returns and realized volatility simultaneously

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On leverage in a stochastic volatility model

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A Tale of Two Time Scales

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Mathematics(1 entry)

mardi Publication:5879918

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