• 70 Citations
  • 2 h-Index
19992019
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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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

Metropolis-Hastings Algorithm
ARMA Model
GARCH Model
Generalized Autoregressive Conditional Heteroscedasticity
Autoregressive Moving Average