In the time series analysis of asset prices, the stochastic volatility models have recently attracted attentions of many researchers since it clearly describes time-varying variance of asset returns. However, it is difficult to evaluate the likelihood and obtain the maximum likelihood estimators...

This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225...

The purpose of this paper is to demonstrate the powerful and flexible applicability of the Gram-Charlier expansion to pricing of a wide variety of interest rate related products involving interest rate risk and credit risk. In this paper, we develop easily implemented approximations of the...

Structural changes in business fluctuations have been gathering attention in Europe and the US in recent years. It has become clear that business fluctuations in the US began to stabilize from the middle of the 1980s, and similar structural changes have been observed in Europe. On the other...

This paper proposes a couple of new methods to compute the news impact curve for stochastic volatility (SV) models. The new methods incorporate the joint movement of return and volatility, which has been ignored by the extant literature. The first method employs the Bayesian Markov chain Monte...

Structural changes in business fluctuations have been gathering attention in Europe and the US in recent years. It has become clear that business fluctuations in the US began to stabilize from the middle of the 1980s, and similar structural changes have been observed in Europe. On the other...

　　 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...

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...

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying...

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...