Vol.65, No.1 (2017) Contents

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Special Topic: Statistical Inference and Modeling in High-frequency Financial Data
On the Special Topic "Statistical Inference and Modeling in High-frequency Financial Data"
.......... Yoshinori KAWASAKI and Teppei OGIHARA (65, 1-3)
Modeling Intraday Stock Price Dynamics Using Diffusion Processes and Estimating Volatility and Covariation
..........Teppei OGIHARA (65, 5-20)
On Stepwise Estimation of Lévy Driven Stochastic Differential Equation
..........Yuma UEHARA and Hiroki MASUDA (65, 21-38)
Hybrid Estimation for Stochastic Differential Equations Based on High-frequency Data
..........Masayuki UCHIDA (65, 39-69)
Whittle Estimation for High-frequency Data
..........Masaaki FUKASAWA (65, 71-85)
Analysis of High Frequency Reactions on Tokyo Stock Exchange
..........Yusuke TASHIRO and Muneki KAWAGUCHI (65, 87-111)
Statistical Analysis of High-frequency Limit-order Book Data: On Cross-market, Single-asset Lead-lag Relationships in the Japanese Stock Market
..........Takaki HAYASHI (65, 113-139)
Estimating Truncated Realized Volatility and Time Interval: Evidence from Japanese Stock Market
..........Yasushi YOSHIDA (65, 141-154)
Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case
..........Takayuki MORIMOTO and Yoshinori KAWASAKI (65, 155-180)