Vol.65, No.1 (2017) Contents

Vol.65, No.1Download a combined PDF of this issue

PagesTitle/Author(s)
Special Topic: Statistical Inference and Modeling in High-frequency Financial Data
1-3 On the Special Topic "Statistical Inference and Modeling in High-frequency Financial Data"
Yoshinori KAWASAKI and Teppei OGIHARA
5-20 Modeling Intraday Stock Price Dynamics Using Diffusion Processes and Estimating Volatility and Covariation
Teppei OGIHARA
21-38 On Stepwise Estimation of Lévy Driven Stochastic Differential Equation
Yuma UEHARA and Hiroki MASUDA
39-69 Hybrid Estimation for Stochastic Differential Equations Based on High-frequency Data
Masayuki UCHIDA
71-85 Whittle Estimation for High-frequency Data
Masaaki FUKASAWA
87-111 Analysis of High Frequency Reactions on Tokyo Stock Exchange
Yusuke TASHIRO and Muneki KAWAGUCHI
113-139 Statistical Analysis of High-frequency Limit-order Book Data: On Cross-market, Single-asset Lead-lag Relationships in the Japanese Stock Market
Takaki HAYASHI
141-154 Estimating Truncated Realized Volatility and Time Interval: Evidence from Japanese Stock Market
Yasushi YOSHIDA
155-180 Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case
Takayuki MORIMOTO and Yoshinori KAWASAKI

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