Journal of Statistical Software | 2014 |
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Authors**:** *Alexandre Brouste, Masaaki Fukasawa, HideitallHino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida*

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SSRN | 2016 |
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Measuring risk with cogarch(p,q) models

Authors**:** *Bianchi F., Mercuri L., and Rroji E. *

arXiv | 2015 |
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Estimation and simulation of a cogarch (p, q) model in the yuima project

Authors**:** *Iacus S. and Mercuri L. *

arXiv | 2015 |
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Discrete time approximation of a cogarch(p,q) model and its estimation

Authors**:** *Iacus S., Mercuri L. and Rroji E.*

arXiv | 2014 |
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Implementation of Lévy CARMA model in Yuima package

Authors**:** *Iacus S. and Mercuri L.*

Computational Statistics | 2013 |
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Authors**:** *Brouste A. and Iacus S.*

Bernoulli | 2013 |
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Estimation of the lead-lag parameter from non-synchronous data

Authors**:** *Hoffmann M., Rosenbaum M. and Yoshida N.*

Journal of Multivariate Analysis | 2013 |
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On a family of test statistics for discretely observed diffusion processes

Authors**:** *De Gregorio A. and Iacus S. *

Econometric Theory | 2012 |
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Adaptive lasso-type estimation for ergodic diffusion processes

Authors**:** *De Gregorio A. and Iacus S. *

Stochastic Processes and their Applications | 2012 |
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Adaptive estimation of an ergodic diffusion process based on sampled data

Authors**:** *Uchida M. and Yoshida N.*

Statistics & Probability Letters | 2012 |
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Approximation of the variance gamma model with a ﬁnite mixture of normals

Authors**:** *Loregian A., Mercuri L. and Rroji E.*

arXiv | 2012 |
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Quasi-likelihood analysis for stochastic regression models with nonsynchronous observations

Authors**:** *Ogihara T. and Yoshida N. *

arXiv | 2012 |
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Nondegeneracy of random ﬁeld and estimation of diffusion

Authors**:** *Uchida M. and Yoshida N.*

Stochastic Processes and Their Applications | 2012 |
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Estimation for the change point of the volatility in a stochastic differential equation

Authors**:** *Iacus S. and Yoshida N.*

The Annals of Applied Probabability | 2011 |
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Discretization error of stochastic integrals

Authors**:** *Fukasawa M. *

Journal of Computational and Applied Mathematics | 2011 |
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On simulation of tempered stable random variates

Authors**:** *Kawai R. and Masuda H.*

Annals of the Institute of Statistical Mathematics | 2011 |
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Authors**:** *Yoshida N.*

Stochastic Processes and their Applications | 2011 |
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Nonsynchronous covariance estimator and limit theorem

Authors**:** *Hayashi T. and Yoshida N.*

Annals of the Institute of Statistical Mathematics | 2010 |
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Contrast-based information criterion for ergodic diffusion processes from discrete observations

Authors**:** *Uchida M.*

Annals of the Institute of Statistical Mathematics | 2008 |
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Asymptotic normality of a covariance estimator for non synchronously observed diffusion processes

Authors**:** *Hayashi T. and Yoshida N.*

Research Association of Statistical Sciences | 2008 |
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Some remarks on estimation of diffusion coefficients for jump-diffusions from finite samples

Authors**:** *Shimizu Y.*

Statistical Inference for Stochastic Processes | 2006 |
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Estimation of parameters for diffusion processes with jumps from discrete observations

Authors**:** *Shimizu Y. and Yoshida N.*

Bernoulli | 2005 |
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On covariance estimation of non-synchronously observed diffusion processes

Authors**:** *Hayashi T. and Yoshida N. *