| Publication | Date of Publication | Type |
|---|
Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
Japanese Journal of Statistics and Data Science | 2022-12-13 | Paper |
| scientific article; zbMATH DE number 7612720 (Why is no real title available?) | 2022-11-04 | Paper |
A robust-filtering method for noisy non-stationary multivariate time series with econometric applications
Japanese Journal of Statistics and Data Science | 2021-12-17 | Paper |
Detecting factors of quadratic variation in the presence of market microstructure noise
Japanese Journal of Statistics and Data Science | 2021-12-17 | Paper |
| scientific article; zbMATH DE number 7387538 (Why is no real title available?) | 2021-08-27 | Paper |
Comparing estimation methods of non-stationary errors-in-variables models
Japanese Journal of Statistics and Data Science | 2020-08-26 | Paper |
Simultaneous multivariate Hawkes-type point processes and their application to financial markets
Japanese Journal of Statistics and Data Science | 2019-10-18 | Paper |
Effects of jumps and small noise in high-frequency financial econometrics
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Separating information maximum likelihood method for high-frequency financial data
SpringerBriefs in Statistics | 2018-07-18 | Paper |
The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
Some properties of the LIML estimator in a dynamic panel structural equation
Journal of Econometrics | 2016-08-15 | Paper |
On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
Journal of Econometrics | 2016-08-12 | Paper |
On the asymptotic optimality of the LIML estimator with possibly many instruments
Journal of Econometrics | 2016-08-04 | Paper |
The limited information maximum likelihood approach to dynamic panel structural equation models
Annals of the Institute of Statistical Mathematics | 2015-02-06 | Paper |
Measurement errors and statistics
Journal of the Japan Statistical Society. Japanese Issue | 2014-11-18 | Paper |
An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
Annals of the Institute of Statistical Mathematics | 2012-12-27 | Paper |
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
Mathematics and Computers in Simulation | 2011-06-17 | Paper |
Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
Journal of Multivariate Analysis | 2009-06-24 | Paper |
Pricing options under stochastic interest rates: a new approach
Asia-Pacific Financial Markets | 2009-04-15 | Paper |
| On multi-period statistical risk management methods and equity-linked life insurance | 2009-03-26 | Paper |
| Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems | 2006-09-11 | Paper |
On validity of the asymptotic expansion approach in contingent claim analysis
The Annals of Applied Probability | 2004-03-21 | Paper |
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2003-01-07 | Paper |
| scientific article; zbMATH DE number 1788881 (Why is no real title available?) | 2002-08-26 | Paper |
The asymptotic expansion approach to the valuation of interest rate contingent claims
Mathematical Finance | 2001-03-29 | Paper |
Pricing Options With Curved Boundaries1
Mathematical Finance | 1997-08-31 | Paper |
SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
Journal of Time Series Analysis | 1997-01-14 | Paper |
Asymptotic robustness of tests of overidentification and predeterminedness
Journal of Econometrics | 1994-06-29 | Paper |
Tests of overidentification and predeterminedness in simultaneous equation models
Journal of Econometrics | 1993-02-04 | Paper |
Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
Journal of Multivariate Analysis | 1992-06-28 | Paper |
A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics
Annals of the Institute of Statistical Mathematics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4024516 (Why is no real title available?) | 1986-01-01 | Paper |
| Properties of Predictors in Misspecified Autoregressive Time Series Models | 1985-01-01 | Paper |
Asymptotic bias of the least squares estimator for multivariate autoregressive models
Annals of the Institute of Statistical Mathematics | 1984-01-01 | Paper |
Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
International Economic Review | 1983-01-01 | Paper |
Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
Econometrica | 1982-01-01 | Paper |
Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
Journal of Econometrics | 1982-01-01 | Paper |
| Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations | 1980-01-01 | Paper |
| Improving the Maximum Likelihood Estimate in Linear Functional Relationships for Alternative Parameter Sequences | 1980-01-01 | Paper |
