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~isPartOf:"Global COE Hi-Stat discussion paper series"
~language:"eng"
~subject:"ARCH model"
~type:"book"
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1
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2013
Persistent link: https://www.econbiz.de/10009689980
Saved in:
2
An empirical analysis of the Nikkei 225 put options using realized GARCH models
Takeuchi-Nogimori, Asuka
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2012
Persistent link: https://www.econbiz.de/10009618595
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3
News impact curve for stochastic volatility models
Takahashi, Makoto
;
Omori, Yasuhiro
;
Watanabe, Toshiaki
-
2012
Persistent link: https://www.econbiz.de/10009618591
Saved in:
4
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2012
Persistent link: https://www.econbiz.de/10009682612
Saved in:
5
Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki
-
2011
Persistent link: https://www.econbiz.de/10009239366
Saved in:
6
Duration-based volatility estimation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003854415
Saved in:
7
Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model
Ishida, Isao
;
Watanabe, Toshiaki
-
2009
Persistent link: https://www.econbiz.de/10003854412
Saved in:
8
Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki
;
Ubukata, Masato
-
2009
Persistent link: https://www.econbiz.de/10003854767
Saved in:
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