Publications

Refereed papers:

  1. “Alternative Asymmetric Stochastic Volatility Models” (with Michael McAleer), to appear in Econometric Reviews.
  2. “General Asymmetric Stochastic Volatility Models Using Range Data: Estimation and Empirical Evidence from Emerging Equity Markets” (with Angelo Unite), to appear in Applied Financial Economics.
  3. “Multivariate Stochastic Volatility, Leverage and News Impact Surfaces” (with Michael McAleer), Econometrics Journal, 2009, 12(2), 292-309.
  4.  “The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models” (with Michael McAleer), Journal of Econometrics, 2009, 150(2), 182-192.
  5. “Bayesian Analysis of Stochastic Volatility Models with Mixture-of-Normal Distributions”, Mathematics and Computers in Simulation, 2009, 79(8), 2579-2596.
  6. “A Portfolio Index GARCH Model” (with Michael McAleer), International Journal of Forecasting, 2008, 24(3), 449-461.
  7.  “The Relationship between Stock Return Volatility and Trading Volume: The case of The Philippines” (with Angelo Unite), Applied Financial Economics, 2008, 18(16), 1333-1348.
  8. “Autoregressive Stochastic Volatility Models with Heavy-Tailed Distributions: A Comparison with Multifactor Volatility Models”,  Journal of Empirical Finance, 2008, 15(2), 332-341.
  9. “A Distribution-Free Test for Symmetry with an Application to S&P Index Returns” (with Ulziijargal Dashzeveg), Applied Economics Letters, 2008, 15(6), 461-464.
  10. “Portfolio Single Index (PSI) Multivariate Conditional and Stochastic Volatility Models” (with Michael McAleer and Bernardo da Veiga), Mathematics and Computers in Simulation, 2008, 78(2-3), 209-214.
  11. “Non-Trading Day Effects in Asymmetric Conditional and Stochastic Volatility Models” (with Michael McAleer), Econometrics Journal, 2007, 10(1), 113-123.
  12. “Multivariate Stochastic Volatility: A Review”, (with Jun Yu and Michael McAleer), Econometric Reviews, 2006, 25(2-3), 145-175.
  13. “Asymmetric Multivariate Stochastic Volatility”, (with Michael McAleer), Econometric Reviews, 2006, 25(2-3), 453-473.
  14.  “Comparison of MCMC Methods for Estimating GARCH Models”, Journal of the Japan Statistical Society, 2006, 36(2), 199-212.
  15. “Dynamic Asymmetric Leverage in Stochastic Volatility Models” (with Michael McAleer), Econometric Reviews, 2005, 24(3), 317-332.
  16. “Comparison of MCMC Methods for Estimating Stochastic Volatility Models”, Computational Economics, 2005, 25(3), 281-301.
  17. "Testing for Serial Correlation in the Presence of Stochastic Volatility”, Asia-Pacific Financial Markets, 2000, 7(4), 321-337.
  18. “Time Series Evidence on a New Keynesian Theory of the Output-Inflation Trade-Off", Applied Economics Letters, 1999, 6(9), 539-541.
  19. “Bayesian Analysis of Stochastic Volatility Models with Heavy-Tailed Distributions”, MTEC Journal, 1999, 12, 19-40.
  20. “A Method to Estimate Random Walk Stochastic Volatility Models”, Far East Journal of Theoretical Statistics, 1999, 3(1), 187-212.
  21. “Essays in Nonstationary Financial Time Series”, Ph.D. dissertation, University of Tsukuba, 1998.
  22. “A New Method to Estimate Stochastic Volatility Models: A Log-GARCH Approach”, Journal of the Japan Statistical Society, 1998, 28(1), 101-114.
  23.  “The Japanese Stock Market and the Macroeconomy: An Empirical Investigation” (with T. Shiba), Financial Engineering and the Japanese Markets, 1995, 2(3), 259-267.

 

Book Chapter:

  1.  “Multivariate Stochastic Volatility” (with Siddhartha Chib and Yasuhiro Omori), in: T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Handbook of Financial Time Series, Springer-Verlag, New York, 2009, 365-400.
  2. “Option Pricing and MCMC (in Japanese)”, in: H. Wago (ed.), Bayesian Econometrics; Markov chain Monte Carlo methods and their applications, Toyo Keizai, Tokyo, 2005, 295-327.
  3. “The Forecasting Performance of Models of Interests Futures: HJM Models and Others (in Japanese)” (with T. Takahashi and T. Shiba), in K. Morimune and T. Kariya, eds., Risuku Kanri to Kin'yu-Syoken Toushi Senryaku, Toyo Keizai, Tokyo, 1998, 151-171.

 


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