Zobrazeno 1 - 10
of 84
pro vyhledávání: '"Ota, Yasushi"'
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 short time. By knowing that an arbitrage property exists, we can adop
Externí odkaz:
http://arxiv.org/abs/2205.11012
Publikováno v:
In Auris Nasus Larynx February 2024 51(1):113-119
Autor:
Maki, Daiki, Ota, Yasushi
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 autoregressive (HAR) models allowing for three types of asymmetry: positiv
Externí odkaz:
http://arxiv.org/abs/2006.00158
Autor:
Maki, Daiki, Ota, Yasushi
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 two nonparametric regressions for the conditional mean. First is the ARC
Externí odkaz:
http://arxiv.org/abs/1907.12752
Autor:
Maki, Daiki, Ota, Yasushi
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 conditional mean in the case in which data have no time-varying mean bu
Externí odkaz:
http://arxiv.org/abs/1907.12107
Autor:
Ota, Yasushi, Mizutani, Naoki
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 the results of the stability in this study, we also used actual data rep
Externí odkaz:
http://arxiv.org/abs/1907.12090
Publikováno v:
In Results in Applied Mathematics February 2023 17
Autor:
Doi, Shin-ichi, Ota, Yasushi
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. In our recent work, we derived a new model based on the Black--Scholes
Externí odkaz:
http://arxiv.org/abs/1404.7018
Autor:
Takenouchi, Yoshifumi, Ota, Yasushi
A proper discretization of the logistic differential equation, which is preserving these two distinct equilibrium solutions and their unstability and stability, suggest that we need to examine the time delay of the logistic map. According to Murray,
Externí odkaz:
http://arxiv.org/abs/0908.3970