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Special issue on Nonlinear non-Gaussian models and related filtering methods - Sequential estimation for a functional of the spectral density of a Gaussian stationary process

Shiohama, Takayuki; Taniguchi, Masanobu - In: Annals of the Institute of Statistical Mathematics : AISM 53 (2001) 1, pp. 142-158

Persistent link: https://www.econbiz.de/10006564323

Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations

Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance Research Letters 7 (2010) 1, pp. 60-69

This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations...

Persistent link: https://www.econbiz.de/10008499383

Sequential Estimation for a Functional of the Spectral Density of a Gaussian Stationary Process

Shiohama, Takayuki; Taniguchi, Masanobu - In: Annals of the Institute of Statistical Mathematics 53 (2001) 1, pp. 142-158

Persistent link: https://www.econbiz.de/10005616449

Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models

Hallin, Marc; Shiohama, Takayuki; Taniguchi, Masanobu - Solvay Brussels School of Economics and Management, … - 2010

Persistent link: https://www.econbiz.de/10010600633

Asymptotically efficient estimation of the change point for semiparametric GARCH models

Shiohama, Takayuki - Institute of Economic Research, Hitotsubashi University - 2006

Persistent link: https://www.econbiz.de/10005574117