Takaki Hayashi

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A modelling framework for regression with collinearity Journal of Statistical Planning and Inference	2023-09-15	Paper
On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach Japanese Journal of Statistics and Data Science	2021-12-17	Paper
No arbitrage and lead-lag relationships Statistics \& Probability Letters	2019-09-25	Paper
Wavelet-based methods for high-frequency lead-lag analysis SIAM Journal on Financial Mathematics	2019-03-20	Paper
A discrete-time model of high-frequency stock returns Quantitative Finance	2019-01-15	Paper
Irregular sampling and central limit theorems for power variations: the continuous case Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2013-03-26	Paper
Nonsynchronous covariation process and limit theorems Stochastic Processes and their Applications	2011-10-10	Paper
Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes Annals of the Institute of Statistical Mathematics	2009-06-02	Paper
Consistent estimation of covariation under nonsynchronicity Statistical Inference for Stochastic Processes	2008-09-22	Paper
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH Mathematical Finance	2006-02-08	Paper
On covariance estimation of non-synchronously observed diffusion processes Bernoulli	2005-06-23	Paper

Research outcomes over time

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