1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2024
New approaches of the DCC-GARCH residual: Application to foreign exchange rates
Kenichiro Shiraya, Kanji Suzuki, Tomohisa Yamakami
Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter a…
q-fin.MF2023
Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility
Kenichiro Shiraya, Tomohisa Yamakami
Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly k…
q-fin.MF2022★ 1 cited
Forward start volatility swaps in rough volatility models
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility m…