The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise.

Seisho Sato

Naoto Kunitomo Seisho Sato The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise. 1272-1289 2011 81 Math. Comput. Simul. 7 https://doi.org/10.1016/j.matcom.2010.08.003 db/journals/mcs/mcs81.html#KunitomoS11

Ping Du Shunji Abe Yusheng Ji Seisho Sato Makio Ishiguro A Traffic Decomposition and Prediction Method for Detecting and Tracing Network-Wide Anomalies. 929-936 2009 92-D IEICE Trans. Inf. Syst. 5 https://doi.org/10.1587/transinf.E92.D.929 http://search.ieice.org/bin/summary.php?id=e92-d_5_929&category=D&year=2009&lang=E&abst= db/journals/ieicet/ieicet92d.html#DuAJSI09

Ping Du Shunji Abe Yusheng Ji Seisho Sato Makio Ishiguro Detecting and Tracing Traffic Volume Anomalies in SINET3 Backbone Network. 5833-5837 2008 ICC https://doi.org/10.1109/ICC.2008.1091 conf/icc/2008 db/conf/icc/icc2008.html#DuAJSI08 Genshiro Kitagawa Tomoyuki Higuchi Seisho Sato Computational Methods for Time Series Analysis. 15-24 2002 COMPSTAT https://doi.org/10.1007/978-3-642-57489-4_2 conf/compstat/2002 db/conf/compstat/compstat2002.html#KitagawaHS02 Genshiro Kitagawa Seisho Sato Monte Carlo Smoothing and Self-Organising State-Space Model. 177-195 2001 Sequential Monte Carlo Methods in Practice https://doi.org/10.1007/978-1-4757-3437-9_9 books/sp/DoucetFG01 db/books/collections/DFG2001.html#KitagawaS01 Yoshinori Kawasaki Seisho Sato Shigeru Tachiki Vector-valued multiple regression model with time varying coefficients and its application to predict excess stock returns. 162-165 2000 CIFEr https://doi.org/10.1109/CIFER.2000.844617 conf/cifer/2000 db/conf/cifer/cifer2000.html#KawasakiST00 Shunji Abe Ping Du Tomoyuki Higuchi Makio Ishiguro Yusheng Ji Yoshinori Kawasaki Genshiro Kitagawa Naoto Kunitomo Shigeru Tachiki