Makoto Takahashi : Citation Profile

Are you Makoto Takahashi?

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

4

H index

2

i10 index

154

Citations

RESEARCH PRODUCTION:

3

Articles

8

Papers

RESEARCH ACTIVITY:

   17 years (2007 - 2024). See details.
   Cites by year: 9
   Journals where Makoto Takahashi has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 6 (3.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta687
   Updated: 2024-12-03    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

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 (15)

Chang, Chia-Lin (8)

Xu, Dinghai (5)

Ishihara, Tsunehiro (5)

Proietti, Tommaso (4)

Forbes, Catherine (4)

Nakajima, Jouchi (4)

Chen, Cathy W. S. (4)

Huang, Zhuo (3)

Ruiz, Esther (3)

Cites to:

Omori, Yasuhiro (17)

Bollerslev, Tim (16)

Hansen, Peter (16)

Lunde, Asger (14)

Shephard, Neil (12)

Andersen, Torben (11)

Nakajima, Jouchi (8)

Diebold, Francis (7)

Ait-Sahalia, Yacine (6)

Engle, Robert (5)

Huang, Zhuo (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 (2024 and 2023)

YearTitle of citing document
2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Hao ; Xu, Yongan. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005625.

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2023Market momentum amplifies market volatility risk: Evidence from China’s equity market. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001245.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter. (2023). Asai, Manabu. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:18-:d:1207445.

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2023On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116.

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2023High-frequency realized stochastic volatility model. (2023). Nakajima, Jouchi ; Watanabe, Toshiaki. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-127.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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Works by Makoto Takahashi:

YearTitleTypeCited
2024Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper0
2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article118
2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		paper
2013News impact curve for stochastic volatility models In: Economics Letters.
[Full Text][Citation analysis]		article7
2012News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution In: International Journal of Forecasting.
[Full Text][Citation analysis]		article25
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 nother version. Agregated cites: 25		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 nother version. Agregated cites: 25		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 nother version. Agregated cites: 25		paper
2021Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility In: Discussion paper series.
[Full Text][Citation analysis]		paper4

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