Bivariate mixture models attribute the well-known positive correlation between return volatility and trading volume in financial markets to stochastic changes in a single latent variable representing the number of information arrivals. In this article, dynamic bivariate mixture models that allow...

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their...

In the dynamic factor model, a single unobserved factor common to some macroeconomic variables is defined as a composite index to measure business cycles. This model has recently been developed by combining with the regime switching model so that the mean growth of the index may shift depending...

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...

The realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is extended by employing a wider class distribution, the generalized hyperbolic skew Student's t-distribution, for...

This article evaluates the predictive performance of variance risk premiums (VRPs) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different monthly VRPs, such as expected and ex-post VRPs, are measured by using model-free implied and...

　　 The realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is extended with more general form of bias correction in realized volatility and wider class...