Información del autor
Autor Kobayashi, Masahito |
Documentos disponibles escritos por este autor (3)
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Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH[...]![]()
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Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which ch[...]![]()
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Huang, Jian ; Kobayashi, Masahito ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstra[...]