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

• IDEAS
• EconPapers

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