15 citations · 19 across the 3 of their papers we have counts for
3 papers
stat.AP2015★ 1 cited
Box-Cox transformation of firm size data in statistical analysis
Ting Ting Chen, Tetsuya Takaishi
Firm size data usually do not show the normality that is often assumed in statistical analysis such as regression analysis. In this study we focus on two firm size data: the number…
q-fin.CP2013★ 3 cited
Empirical Study of the GARCH model with Rational Errors
Ting Ting Chen, Tetsuya Takaishi
We use the GARCH model with a fat-tailed error distribution described by a rational function and apply it for the stock price data on the Tokyo Stock Exchange. To determine the mod…
q-fin.ST2013★ 15 cited
Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market
Tetsuya Takaishi, Ting Ting Chen, Zeyu Zheng
We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we de…