Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Tetsuo Kurosaki"'
Autor:
Tetsuo Kurosaki, Young Shin Kim
Publikováno v:
Investment Management & Financial Innovations, Vol 10, Iss 2 (2013)
Externí odkaz:
https://doaj.org/article/3f4845d8d5d046cc87edcda44b9e6ed4
Autor:
Tetsuo Kurosaki, Young Shin Kim
Publikováno v:
Investment Management & Financial Innovations, Vol 10, Iss 1 (2013)
Externí odkaz:
https://doaj.org/article/96195d0a3d7c4b64948f608a33f6c6d4
Autor:
Yuji Sakurai, Tetsuo Kurosaki
Publikováno v:
Quantitative Finance. 22:2219-2236
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07cdf039de2f7255f4d6b6cae7810900
https://doi.org/10.1080/14697688.2022.2114930
https://doi.org/10.1080/14697688.2022.2114930
Autor:
Yuji Sakurai, Tetsuo Kurosaki
Publikováno v:
Research in International Business and Finance. 65:101915
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8f2d600e66cfebe6f18bd3cd97783e44
https://doi.org/10.1016/j.ribaf.2023.101915
https://doi.org/10.1016/j.ribaf.2023.101915
Autor:
Tetsuo Kurosaki1 tetsuokurosaki@gmail.com, Young Shin Kim2 aaron.kim@stonybrook.edu
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. Apr2019, Vol. 23 Issue 2, p1-15. 15p.
Autor:
Yuji Sakurai, Tetsuo Kurosaki
Publikováno v:
Journal of Economic Interaction and Coordination. 15:243-281
In this paper, we propose a simulation framework to assess systemic risk in over-the-counter derivatives markets. We incorporate credit valuation adjustment (CVA), a mark-to-market estimate of counterparty credit risk booked on a bank’s balance she
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3bd15abe3a92715756010660a514a66c
https://doi.org/10.1007/s11403-019-00260-7
https://doi.org/10.1007/s11403-019-00260-7
Autor:
Tetsuo Kurosaki, Youngshin Kim
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to capture t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79699a98bed06491b44939d563d7ef5e
Publikováno v:
The North American Journal of Economics and Finance. 59:101569
We present a theoretical model to explain how financial traders incorporate public and private information into security prices. We explain that the model enables us to simultaneously identify when public information caused surprises and how large an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80011d5420b1d8a574163ec09b2c771f
https://doi.org/10.1016/j.najef.2021.101569
https://doi.org/10.1016/j.najef.2021.101569
Publikováno v:
Annals of Operations Research. 253:21-41
The measurement of financial risk relies on two factors: determination of riskiness by use of an appropriate risk measure; and the distribution according to which returns are governed. Wrong estimates of either, severely compromise the accuracy of co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c30d7e1dc78c8dcd3e606b39e9338cc6
https://doi.org/10.1007/s10479-016-2309-y
https://doi.org/10.1007/s10479-016-2309-y
Autor:
Tetsuo Kurosaki, Young Shin Kim
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 23
We examine the effectiveness of Foster-Hart optimization for currency portfolios. Compared to stock trading, short selling is quite common in currency trading. Combining long and short positions leads to maintaining positive expected portfolio return
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51a9801d6ecc0fa3c8ec051da45c8fed
https://doi.org/10.1515/snde-2017-0119
https://doi.org/10.1515/snde-2017-0119