1 citations · 2 across the 7 of their papers we have counts for
7 papers
Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
Yasushi Ota, Yu Jiang, Daiki Maki
No--arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist among different markets in various fields, even for a very…
The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets
Daiki Maki, Yasushi Ota
This study investigates the impacts of asymmetry on the modeling and forecasting of realized volatility in the Japanese futures and spot stock markets. We employ heterogeneous auto…
Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches
Daiki Maki, Yasushi Ota
This study compares statistical properties of ARCH tests that are robust to the presence of the misspecified conditional mean. The approaches employed in this study are based on tw…
Testing for time-varying properties under misspecified conditional mean and variance
Daiki Maki, Yasushi Ota
This study examines statistical performance of tests for time-varying properties under misspecified conditional mean and variance. When we test for time-varying properties of the c…
Estimating Parameters in Mathematical Model for Societal Booms through Bayesian Inference Approach
Yasushi Ota, Naoki Mizutani
In this study, based on our previous study, we examined the mathematical properties, especially the stability of the equilibrium for our proposed mathematical model. By means of th…
Application of Microlocal Analysis to an Inverse Problem Arising from Financial Markets
Shin-ichi Doi, Yasushi Ota
One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values. I…