Papers - ISHIDA Isao
-
Modelling autoregressive processes with moving-quantiles-implied nonlinearity Reviewed
Isao Ishida, Virmantas Kvedaras
Econometrics 2015
-
Testing for the effects of omitted power transformations Reviewed
Jin Seo Cho, Isao Ishida
Economics Letters 117 287 - 290 2012
Joint Work
-
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX Reviewed
Isao Ishida, Michael McAleer, Kosuke Oya
Managerial Finance 37 2011
Joint Work
-
Revisiting tests for neglected nonlinearity using artificial neural networks Reviewed
Jin Seo Cho, Isao Ishida, Halbert White
Neural Computation 23 1133 - 1186 2011
Joint Work
-
Model-free implied volatility: From surface to index Reviewed
Masaaki Fukasawa, Isao Ishida, Nabil Magrebi, Kosuke Oya, Masato Ubukata, Kazutoshi Yamazaki
International Journal of Theoretical and Applied Finance 14 433 - 463 2011
Joint Work
-
Pricing of volatility indices by GARCH-type models Invited
Isao Ishida
Osaka Exchange Futures and Options Reports 34 ( 6 ) 1 - 6 2022.6
-
Forecasting daily Nikkei 225 spot volatility paths via the Functional ARCH model
Isao Ishida
Konan Economic Papers 59 ( 3, 4 ) 187 - 196 2019.3
Single Work
-
Intraday seasonality of Nikkei 225 volatility Invited
Isao Ishida
Osaka Exchange Futures and Options Reports 30 ( 5 ) 1 - 5 2018.5
Single Work
-
Functional ARCH modelling of the daily spot volatility paths of the Nikkei 225 index Invited
Osaka Exchange Futures and Options Reports 28 ( 8 ) 1 - 7 2016.8
Single Work
-
Estimation of a continuous stochastic volatility model for the Nikkei 225 index via GMM-RM
Isao Ishida
Konan Economic Papers 56 ( 3,4 ) 79 - 86 2016.3
Single Work
-
Estimating stochastic volatility models using realized measures Invited
Isao Ishida
Osaka Exchange Futures and Options Reports 26 ( 8 ) 1 - 7 2014.8
Single Work
-
Pricing of volatility index futures Invited
Isao Ishida
Osaka Securities Exchange Futures and Options Reports 24 ( 11 ) 1 - 7 2012.11
Single Work
-
Statistical properties of time series observations of VXJ Invited
Isao Ishida
Osaka Securities Exchange Futures and Options Reports 22 ( 6 ) 1 - 7 2011.10
Single Work
-
Statistical properties of time series observations of VXJ Invited
Isao Ishida
Osaka Securities Exchange Futures and Options Reports 22 ( 6 ) 1 - 7 2010.6
Single Work