Vol.65, No.1Download a combined PDF of this issue
| Pages | Title/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 |
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| 5-20 | Modeling Intraday Stock Price Dynamics Using Diffusion Processes and Estimating Volatility and Covariation Teppei OGIHARA |
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| 21-38 | On Stepwise Estimation of Lévy Driven Stochastic Differential Equation Yuma UEHARA and Hiroki MASUDA |
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| 39-69 | Hybrid Estimation for Stochastic Differential Equations Based on High-frequency Data Masayuki UCHIDA |
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| 71-85 | Whittle Estimation for High-frequency Data Masaaki FUKASAWA |
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| 87-111 | Analysis of High Frequency Reactions on Tokyo Stock Exchange Yusuke TASHIRO and Muneki KAWAGUCHI |
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| 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 |
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| 141-154 | Estimating Truncated Realized Volatility and Time Interval: Evidence from Japanese Stock Market Yasushi YOSHIDA |
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| 155-180 | Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case Takayuki MORIMOTO and Yoshinori KAWASAKI |
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