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Taro Kanatani

Personal Details

First Name:Taro
Middle Name:
Last Name:Kanatani
Suffix:
RePEc Short-ID:pka155
http://www.biwako.shiga-u.ac.jp/sensei/t-kanatani/
1-1-1 Banba, Hikone, Shiga 522-8522 Japan
+81-749-27-1091

Affiliation

Faculty of Economics
Shiga University

Japan
http://www.econ.shiga-u.ac.jp/

:


RePEc:edi:feshijp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.
  2. Taro Kanatani, 2007. "Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations," KIER Working Papers 634, Kyoto University, Institute of Economic Research.

Articles

  1. Toshiya Hoshikawa & Keiji Nagai & Taro Kanatani & Yoshihiko Nishiyama, 2008. "Nonparametric Estimation Methods of Integrated Multivariate Volatilities," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 112-138.
  2. Kanatani, Taro, 2004. "Iterative method for exponentially weighted rolling regression," Finance Research Letters, Elsevier, vol. 1(3), pages 196-201, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.

    Cited by:

    1. Taro Kanatani, 2007. "Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations," KIER Working Papers 634, Kyoto University, Institute of Economic Research.

Articles

  1. Toshiya Hoshikawa & Keiji Nagai & Taro Kanatani & Yoshihiko Nishiyama, 2008. "Nonparametric Estimation Methods of Integrated Multivariate Volatilities," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 112-138.

    Cited by:

    1. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
    2. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
    3. Hayashi, Takaki & Yoshida, Nakahiro, 2011. "Nonsynchronous covariation process and limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2416-2454, October.
    4. Masato Ubukata & Kosuke Oya, 2007. "Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise," Discussion Papers in Economics and Business 07-03, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2007-04-28 2007-07-13
  2. NEP-MST: Market Microstructure (2) 2007-04-28 2007-07-13

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