Details about Hideyuki Takamizawa

Access statistics for papers by Hideyuki Takamizawa.

Last updated 2023-04-10. Update your information in the RePEc Author Service.

Short-id: pta316

Working Papers

2018

1. An Equilibrium Model of Term Structures of Bonds and Equities
   Working Paper Series, Hitotsubashi University Center for Financial Research
   See also Journal Article An equilibrium model of the term structures of bonds and equities, International Review of Financial Analysis, Elsevier (2022) View citations (1) (2022)

2017

2. A Term Structure Model of Interest Rates with Quadratic Volatility
   Working Paper Series, Hitotsubashi University Center for Financial Research
   See also Journal Article A term structure model of interest rates with quadratic volatility, Quantitative Finance, Taylor & Francis Journals (2018) View citations (1) (2018)

2015

3. Impact of No-arbitrage on Interest Rate Dynamics
   Working Paper Series, Hitotsubashi University Center for Financial Research
4. Predicting Interest Rate Volatility: Using Information on the Yield Curve
   Working Paper Series, Hitotsubashi University Center for Financial Research View citations (3)
   Also in Working Paper Series, Hitotsubashi University Center for Financial Research (2012) View citations (1)
   See also Journal Article Predicting Interest Rate Volatility Using Information on the Yield Curve, International Review of Finance, International Review of Finance Ltd. (2015) View citations (3) (2015)

2010

5. Term Structure Models Can Predict Interest Rate Volatility. But How?
   Tsukuba Economics Working Papers, Faculty of Humanities and Social Sciences, University of Tsukuba View citations (1)

2009

6. An Approximation of European Option Prices under General Diffusion Processes
   Tsukuba Economics Working Papers, Faculty of Humanities and Social Sciences, University of Tsukuba

2007

7. Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach
   Discussion Papers, Graduate School of Economics, Hitotsubashi University
   See also Journal Article Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (6) (2009)

2006

8. Is Nonlinear Drift Implied by the Short-End of the Term Structure?
   Discussion Papers, Graduate School of Economics, Hitotsubashi University
   See also Journal Article Is Nonlinear Drift Implied by the Short End of the Term Structure?, The Review of Financial Studies, Society for Financial Studies (2008) View citations (9) (2008)

Journal Articles

2022

1. An equilibrium model of the term structures of bonds and equities
   International Review of Financial Analysis, 2022, 84, (C) View citations (1)
   See also Working Paper An Equilibrium Model of Term Structures of Bonds and Equities, Working Paper Series (2018) (2018)
2. How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
   International Review of Economics & Finance, 2022, 79, (C), 205-223

2018

3. A term structure model of interest rates with quadratic volatility
   Quantitative Finance, 2018, 18, (7), 1173-1198 View citations (1)
   See also Working Paper A Term Structure Model of Interest Rates with Quadratic Volatility, Working Paper Series (2017) (2017)

2015

4. Predicting Interest Rate Volatility Using Information on the Yield Curve
   International Review of Finance, 2015, 15, (3), 347-386 View citations (3)
   See also Working Paper Predicting Interest Rate Volatility: Using Information on the Yield Curve, Working Paper Series (2015) View citations (3) (2015)

2009

5. Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach
   Journal of Economic Dynamics and Control, 2009, 33, (1), 65-77 View citations (6)
   See also Working Paper Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach, Discussion Papers (2007) (2007)

2008

6. Is Nonlinear Drift Implied by the Short End of the Term Structure?
   The Review of Financial Studies, 2008, 21, (1), 311-346 View citations (9)
   See also Working Paper Is Nonlinear Drift Implied by the Short-End of the Term Structure?, Discussion Papers (2006) (2006)

2007

7. A Simple Measure for Examining the Proxy Problem of the Short-Rate
   Asia-Pacific Financial Markets, 2007, 14, (4), 341-361

2004

8. On the accuracy of the local linear approximation for the term structure of interest rates
   Quantitative Finance, 2004, 4, (2), 151-157 View citations (1)