Details about Teruo Nakatsuma

Access statistics for papers by Teruo Nakatsuma.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pna602

Working Papers

2023

1. Vaccine Uptake - Geographic Psychology or the Information Field?
   Working Papers, Tokyo Center for Economic Research

2021

2. Hierarchical Bayesian Hedonic Regression Analysis of Japanese Rice Wine: Price is Right?
   Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University
3. Identification in Bayesian Estimation of the Skewness Matrix in a Multivariate Skew-Elliptical Distribution
   Papers, arXiv.org
4. The Cost Function Estimation of Japanese Sake Industry with Prefecture-Wise Panel Data
   Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University

2018

5. Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-(Forthcoming in Asia-Pacific Financial Markets)(Revised version of CARF-F-411)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2017

6. Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (1)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2017)
   See also Journal Article Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market, Asia-Pacific Financial Markets, Springer (2018) View citations (5) (2018)
7. Volatility Forecasts Using Nonlinear Leverage Effects
   Papers, arXiv.org

1999

8. Bayesian Analysis of the Convergence Hypothesis in Economic Drowth: A Markov Approach
   Discussion Paper Series, Institute of Economic Research, Hitotsubashi University

1996

9. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test
   Departmental Working Papers, Rutgers University, Department of Economics View citations (4)

Journal Articles

2024

1. Comparative Analysis of Japanese Rice Wine Export Trends: Large Firms in the Nada Region vs. SMEs in Other Regions
   World, 2024, 5, (3), 1-23

2022

2. Comment on “Why Fintech Is Not Changing Japanese Banking”
   Asian Economic Policy Review, 2022, 17, (2), 313-314 View citations (1)
3. Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information
   JRFM, 2022, 15, (10), 1-25 View citations (1)

2021

4. Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors
   JRFM, 2021, 14, (4), 1-29 View citations (1)

2020

5. Volatility forecasts using stochastic volatility models with nonlinear leverage effects
   Journal of Forecasting, 2020, 39, (2), 143-154 View citations (3)

2018

6. Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market
   Asia-Pacific Financial Markets, 2018, 25, (3), 179-220 View citations (5)
   See also Working Paper Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-, CARF F-Series (2017) View citations (1) (2017)

2004

7. A New Control Variate Estimator for an Asian Option
   Asia-Pacific Financial Markets, 2004, 11, (2), 143-160 View citations (1)

2000

8. Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach
   Journal of Econometrics, 2000, 95, (1), 57-69 View citations (62)

1999

9. Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates
   Asia-Pacific Financial Markets, 1999, 6, (1), 71-84 View citations (3)

1998

10. A Markov-Chain Sampling Algorithm for GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (2), 13 View citations (13)

Edited books

2021

1. The Economics of Fintech
   Springer Books, Springer

Chapters

2021

1. Asset Management and Robo-Advisors
   Springer
2. Machine Learning Principles and Applications
   Springer
3. The Mechanism of HFT and Its Merits and Demerits—The Information Efficiency Challenge
   Springer