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Specification and estimation of discrete time quadratic stochastic volatility models
Kawakatsu, Hiroyuki - In: Journal of empirical finance 14 (2007) 3, pp. 424-442
Persistent link: https://www.econbiz.de/10003609856
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Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
Kawakatsu, Hiroyuki - In: The econometrics journal 10 (2007) 2, pp. 342-358
Persistent link: https://www.econbiz.de/10003560004
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Local projection variance impulse response
Kawakatsu, Hiroyuki - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1219-1244
Persistent link: https://www.econbiz.de/10012819528
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Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
Kawakatsu, Hiroyuki - In: Journal of econometric methods 10 (2021) 1, pp. 33-52
Persistent link: https://www.econbiz.de/10012437811
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Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
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EM algorithms for ordered probit models with endogenous regressors
Kawakatsu, Hiroyuki; Largey, Ann G. - In: The econometrics journal 12 (2009) 1, pp. 164-186
Persistent link: https://www.econbiz.de/10003842005
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Financial liberalization and stock market efficiency : an empirical examination of nine emerging market countries
Kawakatsu, Hiroyuki; Morey, Matthew R. - In: Journal of multinational financial management 9 (1999) 3/4, pp. 353-371
Persistent link: https://www.econbiz.de/10001506204
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A computer handbook using EViews to accompany Econometric models and economic forecasts, fourth edition, Pindyck and Rubinfeld
Kawakatsu, Hiroyuki - 1998
Persistent link: https://www.econbiz.de/10013468985
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Matrix exponential GARCH
Kawakatsu, Hiroyuki - In: Journal of econometrics 134 (2006) 1, pp. 95-128
Persistent link: https://www.econbiz.de/10003368416
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Information in daily data volatility measurements
Kawakatsu, Hiroyuki - In: International Journal of Finance & Economics 26 (2020) 2, pp. 1642-1656
Persistent link: https://www.econbiz.de/10012273190