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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10009564870
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Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy
Nakajima, Jouchi; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239364
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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - In: Journal of the Japanese and international economies : … 25 (2011) 3, pp. 225-245
Persistent link: https://www.econbiz.de/10009310792
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009311822
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The application of DSGE-VAR model to macroeconomic data in Japan
Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003901638
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - 2012
Persistent link: https://www.econbiz.de/10009618591
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - In: Economics letters 120 (2013) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
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Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki; Ubukata, Masato - 2009
Persistent link: https://www.econbiz.de/10003854767
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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003854786
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Evaluating the performance of futures hedging using multivariate realized volatility
Ubukata, Masato; Watanabe, Toshiaki - In: Journal of the Japanese and international economies : … 38 (2015), pp. 148-171
Persistent link: https://www.econbiz.de/10011481095