Research
Working Papers
- "Optimally Weighted Realized Volatility"
[ PDF(475KB) ]
- "Unbiased Covariance Estimation with Interpolated Data"
(with R. Reno)
[ PDF(277KB) ]
- "Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations"
[ PDF(284KB) ]
- "Subsampling Cumulative Covariance Estimator"
[ PDF(140KB) ]
Journal Articles
- "Iterative Method for Exponentially Weighted Rolling Regression,"
Finance Research Letters,
Volume 1, Issue 3, Pages 196-201 (2004)
[ HTML ]
- "Integrated Volatility Measuring from Unevenly Sampled Observations," Economics Bulletin,
Volume 3, Number 36, Pages 1-8 (2004)
[ Abstract | PDF(176KB) ]
- "Nonparametric Methods of Estimating Integrated Multivariate Volatilities," (with T. Hoshikawa, K. Nagai, and Y. Nishiyama)
Econometric Reviews, Volume 27, Issue 1-3, Pages 112-138 (2008)
[ HTML ]
- "Estimation of Volatility in the Presence of Market Microstructure noise,"(in Jpanese)
Keizai-Ronso,
Volume 183, Number 2, Pages 77-86 (2009)
Dissertations
- "Stochastic Volatility Models," (in Japanese) Master Thesis, Kyoto University (2002)
- "High Frequency Data and Realized Volatility,"
Doctoral Dissertation, Kyoto University (2005)
[ PDF(650KB) ]
Oral Presentations
- Iterative Formula for Exponentially Weighted Rolling Regression
- Summer Meeting of the Japanese Association of Financial Econometrics and Engineering,
National Center of Sciences, July 2003
- Statistics Summer Seminar 2003,
Noboribetsu Prince Hotel, July 2003
- Autumn Meeting of the Japanese Economic Association,
Meiji University, September 2003
- Integrated Volatility Measuring from Unevenly Sampled Observations
- Kansai Econometrics Workshop,
Kobe University, January 2004
- Econometrics Seminar,
Hiroshima University of Economics, February 2009
-
Optimally Weighted Realized Volatility
[ PDF(353KB) ]
- Statistics Summer Seminar 2004,
Nanki-Yasuragiso, August 2004
- Annual Meeting of the Japan Statistical Society,
Fuji University, September 2004
- Autumn Meeting of the Japanese Economic Association,
Okayama University, September 2004
- Australian Conference of Economists 2004,
The University of Sydney, September 2004
- ASSET Annual Meeting 2005,
University of Crete, October 2005
- Econometric Workshop, Fukuoka University, December 2005
- High Frequency Data and Realized Volatility
[ PDF(351KB) ]
- Doctoral Dissertation Defense,
Kyoto University, January 2005
- A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation
[ PDF(192KB) ]
- COE Youth Conference, Tokyo Branch, KIER, March 2005
- Econometrics Mini Conference, Yokohama National University, January 2006
- Recent Developments in Econometric Theory: Conference in Honor of Professor Kimio Morimune's Kanreki, Kyoto University, July 2006
- Unbiased Covariance Estimation with Interpolated Data
[ PDF(151KB) ]
- Seminar of Department of Political Economics, University of Siena, October 2006
- Second Italian Congress of Econometrics and Empirical Economics, University of Bologna, January 2007
- Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
[ PDF(91KB) ]
- Seminar of Department of Mathematics for Decisions, University of Florence, February 2007
- Workshop in Honor of Professor Koichi Maekawa's Retirement, Hiroshima University, March 2007
- Econometrics Workshop, Kyoto University, March 2007
- Japanese Joint Statistical Meeting, Kobe University, September 2007
- Econometrics Lunch Seminar, Stanford University, October 2007
- Subsampling Cumulative Covariance Estimator
- Econometrics Workshop, Kyoto University, May 2009
- Economic Workshop, Otaru University of Commerce, October 2009
- Applied Econometrics Seminar, University of the Ryukyus, January 2010
- KIER-TMU International Workshop, Akihabara Daibiru, August 2010
- GCOE Hi-Stat Workshop on Financial Econometrics, Hitotsubashi University, August 2010
Notes
- "Long Memory"
[ PDF(323KB) ]
- "Integrated Volatility Measuring from Unevenly Sampled Observations"
[ PDF(240KB) ]
- "A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation"
[ PDF(200KB) ]
Links
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