Details about Isao Ishida

Access statistics for papers by Isao Ishida.

Last updated 2024-04-08. Update your information in the RePEc Author Service.

Short-id: pis93

Working Papers

2013

1. Mathematical Proofs for "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions"
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
2. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta. Eds. Niels Haldrup, Mika Meitz, and Pentti Saikkonen (2014). Oxford: Oxford University Press.)
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)

2011

3. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
4. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
   KIER Working Papers, Kyoto University, Institute of Economic Research View citations (11)
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2011) View citations (11)

2009

5. Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)

2005

6. Scanning Multivariate Conditional Densities with Probability Integral Transforms
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)
   Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2005) View citations (8)

Journal Articles

2015

1. Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity
   Econometrics, 2015, 3, (1), 1-53

2012

2. Testing for the effects of omitted power transformations
   Economics Letters, 2012, 117, (1), 287-290 View citations (16)

2011

3. MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
   International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (04), 433-463 View citations (11)