1-236 Tangi-cho
Hachioji (city)
Tokyo, 192-8577
Japan
http://www.soka.ac.jp/en/#a01
Soka University - Faculty of Economics
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realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit
Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts
Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails
Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling
block structures; multivariate stochastic volatility; curse of dimensionality
Covariance prediction, Dynamic correlation, Nonlinear time series, Long memory, Stochastic covariance filter, Threshold models
Dynamic correlations, Long Memory, Range, Leverage effects, Multivariate GARCH
Multivariate GARCH, Realized Measures, Matrix-Exponential, Bayesian Markov Chain Monte Carlo method, Asymmetry
Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood
Stochastic Volatility; Realized Measure; Long Memory; Asymmetry; Whittle likelihood
