Seisho Sato

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
The SIML filtering method for noisy non-stationary economic time series SpringerBriefs in Statistics	2025-02-25	Paper
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
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
Computational Methods for Time Series Analysis Compstat	2020-07-15	Paper
Term structure models during the global financial crisis: a parsimonious text mining approach Asia-Pacific Financial Markets	2019-10-11	Paper
Separating information maximum likelihood method for high-frequency financial data SpringerBriefs in Statistics	2018-07-18	Paper
An FBSDE approach to American option pricing with an interacting particle method Asia-Pacific Financial Markets	2017-08-17	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
Constructing a credit default swap index and detecting the impact of the financial crisis	2012-09-05	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
Probability distribution and option pricing for drawdown in a stochastic volatility environment International Journal of Theoretical and Applied Finance	2010-05-27	Paper
Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis COMPSTAT 2008	2008-11-10	Paper
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH JOURNAL OF THE JAPAN STATISTICAL SOCIETY	2003-01-07	Paper
A Monte Carlo filtering approach for estimating the term structure of interest rates Annals of the Institute of Statistical Mathematics	2002-04-11	Paper
scientific article; zbMATH DE number 1666092 (Why is no real title available?)	2001-10-23	Paper
ON GOTT III'S DELTA t ARGUMENT : A GOOD TEST CREATING A BAD CONFIDENCE INTERVAL JOURNAL OF THE JAPAN STATISTICAL SOCIETY	1999-01-01	Paper
SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL Journal of Time Series Analysis	1997-01-14	Paper

Research outcomes over time

This page was built for person: Seisho Sato