Research Output per year

## Fingerprint Dive into the research topics where Teruo Nakatsuma is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Leverage Effect
Mathematics

Ratio test
Mathematics

Metropolis-Hastings Algorithm
Mathematics

ARMA Model
Mathematics

GARCH Model
Mathematics

Stochastic Volatility Model
Mathematics

Generalized Autoregressive Conditional Heteroscedasticity
Mathematics

Unit Root
Mathematics

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## Research Output 1999 2019

- 70 Citations
- 2 h-Index
- 8 Article

## Volatility forecasts using stochastic volatility models with nonlinear leverage effects

McAlinn, K., Ushio, A. & Nakatsuma, T., 2019 Jan 1, (Accepted/In press) In : Journal of Forecasting.Research output: Contribution to journal › Article

Leverage Effect

Stochastic Volatility Model

Nonlinear Effects

Stochastic models

Volatility

1
Citation
(Scopus)

## Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market

Saito, T., Adachi, T., Nakatsuma, T., Takahashi, A., Tsuda, H. & Yoshino, N., 2018 Sep 1, In : Asia-Pacific Financial Markets. 25, 3, p. 179-220 42 p.Research output: Contribution to journal › Article

High-frequency trading

Japanese stock market

Empirical study

Market making

Cancellation

1
Citation
(Scopus)

## A new control variate estimator for an Asian option

Kamizono, K., Kariya, T., Liu, R. Y. & Nakatsuma, T., 2004, In : Asia-Pacific Financial Markets. 11, 2, p. 143-160 18 p.Research output: Contribution to journal › Article

Asian options

Control variate

Estimator

Geometric mean

Simulation

## Exact inference using variable integrating constant importance distributions

Romeo, C. J. & Nakatsuma, T., 2004, In : Computational Economics. 23, 1, p. 45-70 26 p.Research output: Contribution to journal › Article

Polynomials

Importance sampling

Innovation

Exact inference

## Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach

Nakatsuma, T., 2000 Mar, In : Journal of Econometrics. 95, 1, p. 57-69 13 p.Research output: Contribution to journal › Article

Metropolis-Hastings Algorithm

ARMA Model

GARCH Model

Generalized Autoregressive Conditional Heteroscedasticity

Autoregressive Moving Average