Details about Makoto Takahashi

Access statistics for papers by Makoto Takahashi.

Last updated 2025-02-08. Update your information in the RePEc Author Service.

Short-id: pta687

Working Papers

2024

1. Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
   Papers, arXiv.org

2021

2. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University View citations (4)
   See also Journal Article Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility, Econometrics and Statistics, Elsevier (2024) (2024)

2015

3. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (2)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (2)
   See also Journal Article Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution, International Journal of Forecasting, Elsevier (2016) View citations (25) (2016)

2012

4. News Impact Curve for Stochastic Volatility Models
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   See also Journal Article News impact curve for stochastic volatility models, Economics Letters, Elsevier (2013) View citations (7) (2013)

2007

5. Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
   See also Journal Article Estimating stochastic volatility models using daily returns and realized volatility simultaneously, Computational Statistics & Data Analysis, Elsevier (2009) View citations (125) (2009)
6. Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Journal Articles

2024

1. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
   Econometrics and Statistics, 2024, 32, (C), 34-56
   See also Working Paper Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility, Discussion paper series (2021) View citations (4) (2021)

2016

2. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
   International Journal of Forecasting, 2016, 32, (2), 437-457 View citations (25)
   See also Working Paper Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution, CIRJE F-Series (2015) (2015)

2013

3. News impact curve for stochastic volatility models
   Economics Letters, 2013, 120, (1), 130-134 View citations (7)
   See also Working Paper News Impact Curve for Stochastic Volatility Models, Global COE Hi-Stat Discussion Paper Series (2012) View citations (1) (2012)

2009

4. Estimating stochastic volatility models using daily returns and realized volatility simultaneously
   Computational Statistics & Data Analysis, 2009, 53, (6), 2404-2426 View citations (125)
   See also Working Paper Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously, CIRJE F-Series (2007) View citations (5) (2007)