Makoto Takahashi : Citation Profile


Are you Makoto Takahashi?

Hosei University (66% share)
Osaka University (34% share)

3

H index

2

i10 index

94

Citations

RESEARCH PRODUCTION:

3

Articles

6

Papers

RESEARCH ACTIVITY:

   9 years (2007 - 2016). See details.
   Cites by year: 10
   Journals where Makoto Takahashi has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 5 (5.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta687
   Updated: 2019-12-07    RAS profile: 2018-10-07    
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Relations with other researchers


Works with:

Omori, Yasuhiro (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Makoto Takahashi.

Is cited by:

Omori, Yasuhiro (22)

Asai, Manabu (9)

McAleer, Michael (9)

Chang, Chia-Lin (6)

Ishihara, Tsunehiro (5)

Nakajima, Jouchi (4)

Xu, Dinghai (3)

Huang, Zhuo (3)

Hansen, Peter (3)

Shin, Minchul (3)

Santos, Antonio (2)

Cites to:

Bollerslev, Tim (12)

Omori, Yasuhiro (10)

Hansen, Peter (9)

Shephard, Neil (8)

Lunde, Asger (8)

Andersen, Torben (7)

Ait-Sahalia, Yacine (5)

Nakajima, Jouchi (5)

Ghysels, Eric (4)

Harvey, Andrew (4)

Engle, Robert (4)

Main data


Where Makoto Takahashi has published?


Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4

Recent works citing Makoto Takahashi (2018 and 2017)


YearTitle of citing document
2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Omori, Yasuhiro ; Ishihara, Tsunehiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2017Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2019On long memory effects in the volatility measure of Cryptocurrencies. (2019). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:95-100.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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2018Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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2018Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017An Empirical Analysis of Nikkei 225 Options Using Realized GARCH Models. (2017). Takeuchi-Nogimori, Asuka . In: Economic Review. RePEc:hit:ecorev:v:68:y:2017:i:2:p:97-113.

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2017Does corporate control matter to financial volatility?. (2017). Rungi, Armando ; Gianfagna, Laura. In: Working Papers. RePEc:ial:wpaper:9/2017.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2019Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo. In: CEIS Research Paper. RePEc:rtv:ceisrp:450.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach. (2017). Omori, Yasuhiro ; Awaya, Naoki. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1066.

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2018Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1075.

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2018Particle rolling MCMC with double block sampling: conditional SMC update approach. (2018). Omori, Yasuhiro ; Awaya, Naoki. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1080.

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2019Particle rolling MCMC. (2019). Omori, Yasuhiro ; Awaya, Naoki. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1110.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1117.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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2018Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49.

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Works by Makoto Takahashi:


YearTitleTypeCited
2007Estimating 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. Ap In: CARF F-Series.
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paper0
2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
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article81
2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 81
paper
2013News impact curve for stochastic volatility models In: Economics Letters.
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article3
2012News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 3
paper
2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution In: International Journal of Forecasting.
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article10
2014Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 10
paper
2014Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2015Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2015) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper

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