scientific article; zbMATH DE number 7660124
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Publication:5879918
DOI10.11329/JJSSJ.51.1MaRDI QIDQ5879918FDOQ5879918
Authors: Tsunehiro Ishihara 
Publication date: 7 March 2023
Title of this publication is not available (Why is that?)
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Cites Work
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- Common risk factors in the returns on stocks and bonds
- A multiple indicators model for volatility using intra-daily data
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Tale of Two Time Scales
- Volatility forecast comparison using imperfect volatility proxies
- Matrix exponential GARCH
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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- Subsampling realised kernels
- Empirical modeling of exchange rate dynamics
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- Title not available (Why is that?)
- Multivariate stochastic volatility, leverage and news impact surfaces
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- Evaluating Volatility and Correlation Forecasts
- On the correlation structure of microstructure noise: a financial economic approach
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Introduction to Bayesian Econometrics
- Optimum thresholding using mean and conditional mean squared error
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
- A New Parametrization of Correlation Matrices
- Matrix exponential stochastic volatility with cross leverage
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Realized stochastic volatility with general asymmetry and long memory
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Uses Software
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