Toshiaki Watanabe

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
Bayesian modeling and forecasting of value-at-risk via threshold realized volatility Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models Statistics and Its Interface	2018-05-14	Paper
News impact curve for stochastic volatility models Economics Letters	2014-03-27	Paper
Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo Journal of the Japan Statistical Society	2013-11-26	Paper
Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk Quantitative Finance	2010-08-05	Paper
Estimating stochastic volatility models using daily returns and realized volatility simultaneously Computational Statistics and Data Analysis	2010-03-30	Paper
Block sampler and posterior mode estimation for asymmetric stochastic volatility models Computational Statistics and Data Analysis	2009-06-12	Paper
A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997) Biometrika	2008-04-08	Paper
scientific article; zbMATH DE number 2170628 (Why is no real title available?)	2005-05-23	Paper
On sampling the degree-of-freedom of Student's-\(t\) disturbances Statistics & Probability Letters	2001-01-01	Paper

Research outcomes over time

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