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Details about Tsunehiro Ishihara

Homepage:https://sites.google.com/site/tsunehiroishihara/
Workplace:Osaka University of Economics, (more information at EDIRC)

Access statistics for papers by Tsunehiro Ishihara.

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

Short-id: pis204


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Working Papers

2014

  1. Matrix Exponential Stochastic Volatility with Cross Leverage
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    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) Downloads View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) Downloads View citations (2)

    See also Journal Article in Computational Statistics & Data Analysis (2016)

2010

  1. Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (1)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2009

  1. Multivariate Stochastic Volatility with Cross Leverage
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (22)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (19)

2008

  1. "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 Downloads View citations (1)
  2. 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 Downloads 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 Downloads View citations (3)

2016

  1. Matrix exponential stochastic volatility with cross leverage
    Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 Downloads View citations (9)
    See also Working Paper (2014)

2015

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

2012

  1. 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 Downloads View citations (15)
    See also Working Paper (2010)
 
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