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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
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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
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Asymptotically efficient estimation of the change point for semiparametric GARCH models
Shiohama, Takayuki (contributor) - 2006
Persistent link: https://www.econbiz.de/10003245299
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Fixed size confidence regions for parameters of stationary processes based on a minimum contrast estimator
Shiohama, Takayuki (contributor) - 2005
Persistent link: https://www.econbiz.de/10003054584
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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
Persistent link: https://www.econbiz.de/10003972397
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Asymptotic expansion for interest rates with non-Gaussian dependent innovations
Shiohama, Takayuki; Tamaki, Kenichiro - In: Interest rates : term structure models, monetary …, (pp. 19-61). 2012
Persistent link: https://www.econbiz.de/10009658369
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Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
Miura, Masakazu; Tamaki, Kenichiro; Shiohama, Takayuki - In: Asia-Pacific financial markets 20 (2013) 4, pp. 311-344
Persistent link: https://www.econbiz.de/10010345916
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Multifactor portfolio construction by factor risk parity strategies: an empirical comparison of global stock markets
Shimizu, Hidehiko; Shiohama, Takayuki - In: Asia-Pacific financial markets 26 (2019) 4, pp. 453-477
Persistent link: https://www.econbiz.de/10012309815
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Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing
Shimizu, Hidehiko; Shiohama, Takayuki - In: International review of financial analysis 68 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012300934
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An asymptotic expansion for the distribution of the likelihood ratio criterion for a Gaussian autoregressive moving average process under a local alternative
Taniguchi, Masanobu - In: Econometric theory 1 (1985) 1, pp. 73-84
Persistent link: https://www.econbiz.de/10001072747