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~subject:"Prognoseverfahren"
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Search: person:"Ubukata, Masato"
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Prognoseverfahren
Volatility
11
Volatilität
11
Japan
10
Capital income
8
Kapitaleinkommen
8
ARCH model
6
ARCH-Modell
6
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Marktmikrostruktur
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Risikoprämie
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Option pricing theory
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Option trading
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Optionsgeschäft
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Optionspreistheorie
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Predictability
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ARMA model
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ARMA-Modell
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High-frequency data
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Realized covariance matrix
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market microstructure noise
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test statistic
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Analysis of variance
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Börsenkurs
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Corporate Governance
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Corporate governance
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Correlation
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Estimation theory
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Foreign shareholdings
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Hedging
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Implied variance
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Index futures
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English
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Ubukata, Masato
6
Watanabe, Toshiaki
3
Andersen, Torben
1
Fukasawa, Masaaki
1
Ishida, I.
1
Maghrebi, N.
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Ogawa, Toshiaki
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Oya, Kosuke
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Todorov, Viktor
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Global COE Hi-Stat discussion paper series
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IMES discussion paper series / Englische Ausgabe
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International journal of theoretical and applied finance
1
Journal of econometrics
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ECONIS (ZBW)
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1
Stock return predictability and variance risk premia around the ZLB
Ogawa, Toshiaki
;
Ubukata, Masato
;
Watanabe, Toshiaki
-
2020
Persistent link: https://www.econbiz.de/10013461530
Saved in:
2
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
3
Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
1
,
pp. 79-104
Persistent link: https://www.econbiz.de/10012052257
Saved in:
4
Market variance risk premiums in Japan as predictor variables and indicators of risk aversion
Ubukata, Masato
;
Watanabe, Toshiaki
-
2011
Persistent link: https://www.econbiz.de/10009423458
Saved in:
5
Market variance risk premiums in Japan for asset predictability
Ubukata, Masato
;
Watanabe, Toshiaki
- In:
Empirical economics : a journal of the Institute for …
47
(
2014
)
1
,
pp. 169-198
Persistent link: https://www.econbiz.de/10010379960
Saved in:
6
Model-free implied volatility : from surface to index
Fukasawa, Masaaki
;
Ishida, I.
;
Maghrebi, N.
;
Oya, Kosuke
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 433-463
Persistent link: https://www.econbiz.de/10009269385
Saved in:
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