| Publication | Date of Publication | Type |
|---|
Estimation of high-dimensional vector autoregression via sparse precision matrix
Econometrics Journal | 2024-06-11 | Paper |
High‐dimensional sparse multivariate stochastic volatility models
Journal of Time Series Analysis | 2023-08-24 | Paper |
Realized BEKK-CAW models
Journal of Time Series Econometrics | 2023-03-20 | Paper |
Multivariate hyper-rotated GARCH-BEKK
Journal of Time Series Econometrics | 2022-07-05 | Paper |
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
The impact of jumps and leverage in forecasting covolatility
Econometric Reviews | 2022-06-08 | Paper |
A fractionally integrated Wishart stochastic volatility model
Econometric Reviews | 2022-06-07 | Paper |
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Journal of Econometrics | 2022-03-16 | Paper |
| カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について | 2021-08-27 | Paper |
Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
Journal of Time Series Analysis | 2021-06-30 | Paper |
Cointegrated dynamics for a generalized long memory process: application to interest rates
Journal of Time Series Econometrics | 2020-09-03 | Paper |
Stochastic multivariate mixture covariance model
Journal of Forecasting | 2018-10-12 | Paper |
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
Journal of Forecasting | 2018-10-11 | Paper |
Matrix exponential stochastic volatility with cross leverage
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Long memory and asymmetry for matrix-exponential dynamic correlation processes
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Realized stochastic volatility with general asymmetry and long memory
Journal of Econometrics | 2017-08-18 | Paper |
Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves
Journal of the Japan Statistical Society | 2016-11-15 | Paper |
The structure of dynamic correlations in multivariate stochastic volatility models
Journal of Econometrics | 2016-07-04 | Paper |
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Journal of Econometrics | 2015-10-30 | Paper |
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Journal of Econometrics | 2015-06-08 | Paper |
Stochastic covariance models
Journal of the Japan Statistical Society | 2014-10-23 | Paper |
Dynamic conditional correlations for asymmetric processes
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2013-02-14 | Paper |
Modelling and forecasting noisy realized volatility
Computational Statistics and Data Analysis | 2012-06-20 | Paper |
Multivariate stochastic volatility, leverage and news impact surfaces
Econometrics Journal | 2010-10-15 | Paper |
Multivariate Stochastic Volatility
Handbook of Financial Time Series | 2009-11-27 | Paper |
Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Testing for serial correlation in the presence of stochastic volatility
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
The Japanese stock market and the macroeconomy: An empirical investigation
Financial Engineering and the Japanese Markets | 2009-02-06 | Paper |
Portfolio single index (PSI) multivariate conditional and stochastic volatility models
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Non‐trading day effects in asymmetric conditional and stochastic volatility models
Econometrics Journal | 2007-08-09 | Paper |
Comparison of MCMC Methods for Estimating GARCH Models
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2007-05-24 | Paper |
Asymmetric Multivariate Stochastic Volatility
Econometric Reviews | 2006-08-28 | Paper |
Multivariate Stochastic Volatility: A Review
Econometric Reviews | 2006-08-28 | Paper |
Comparison of MCMC methods for estimating stochastic volatility models
Computational Economics | 2006-02-20 | Paper |
Dynamic Asymmetric Leverage in Stochastic Volatility Models
Econometric Reviews | 2005-10-17 | Paper |
A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 1999-01-10 | Paper |
