Takayuki Morimoto

Jump diffusion model with application to the Japanese stock market

Koichi Maekawa, Sangyeol Lee, Takayuki Morimoto et al. · Mathematics and Computers in Simulation · 2008 · 22 citations

Economics, Volatility Modeling, Asset Pricing +6

Box–Cox realized asymmetric stochastic volatility models with generalized Student's<i>t</i>-error distributions

Didit Budi Nugroho, Takayuki Morimoto · Journal of Applied Statistics · 2015 · 22 citations

Forecasting Financial Market Volatility Using a Dynamic Topic Model

Takayuki Morimoto, Yoshinori Kawasaki · Asia-Pacific Financial Markets · 2017 · 22 citations

Volatility Modeling, Economics, Financial Economics +5

Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods

Didit Budi Nugroho, Takayuki Morimoto · Computational Statistics · 2014 · 17 citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +9

Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student&amp;apos;s &lt;i&gt;t&lt;/i&gt;-Distributions

Didit Budi Nugroho, Takayuki Morimoto · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 2014 · 16 citations · Full text

Volatility Modeling, Engineering, Volatility Estimators +17