Details about Tsunehiro Ishihara

Access statistics for papers by Tsunehiro Ishihara.

Last updated 2019-08-09. Update your information in the RePEc Author Service.

Short-id: pis204

Working Papers

2014

1. Matrix Exponential Stochastic Volatility with Cross Leverage
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (7)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (3)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (13)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) View citations (2)
   See also Journal Article Matrix exponential stochastic volatility with cross leverage, Computational Statistics & Data Analysis, Elsevier (2016) View citations (17) (2016)

2010

2. Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (5)
   See also Journal Article Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Computational Statistics & Data Analysis, Elsevier (2012) View citations (24) (2012)

2009

3. Multivariate Stochastic Volatility with Cross Leverage
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (33)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (30)

2008

4. "Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese)
   CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
5. Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-
   CARF J-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (1)

Journal Articles

2017

1. Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage
   The Japanese Economic Review, 2017, 68, (1), 63-94 View citations (8)

2016

2. Matrix exponential stochastic volatility with cross leverage
   Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 View citations (17)
   See also Working Paper Matrix Exponential Stochastic Volatility with Cross Leverage, CIRJE F-Series (2014) View citations (7) (2014)

2015

3. Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan
   Economic Review, 2015, 66, (2), 145-168
4. Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225
   Economic Review, 2015, 66, (1), 1-18

2012

5. Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
   Computational Statistics & Data Analysis, 2012, 56, (11), 3674-3689 View citations (24)
   See also Working Paper Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors, CIRJE F-Series (2010) (2010)