Shin Kanaya
Personal Details
First Name: | Shin |
Middle Name: | |
Last Name: | Kanaya |
Suffix: | |
RePEc Short-ID: | pka651 |
[This author has chosen not to make the email address public] | |
Affiliation
(73%) Economics Department
University of Essex
Colchester, United Kingdomhttps://www.essex.ac.uk/departments/economics
RePEc:edi:edessuk (more details at EDIRC)
(23%) Institute of Economic Research
Kyoto University
Kyoto, Japanhttp://www.kier.kyoto-u.ac.jp/
RePEc:edi:iekyojp (more details at EDIRC)
(4%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Kanaya, Shin, 2016.
"Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes,"
Discussion Paper Series
646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013.
"Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,"
CREATES Research Papers
2013-29, Department of Economics and Business Economics, Aarhus University.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics Working Papers 2009-26, University of Adelaide, School of Economics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013.
"Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets,"
Economics Series Working Papers
646, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," NBER Working Papers 18833, National Bureau of Economic Research, Inc.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," CREATES Research Papers 2013-06, Department of Economics and Business Economics, Aarhus University.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2012.
"Are University Admissions Academically Fair?,"
Economics Series Working Papers
608, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017. "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 449-464, July.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014. "Are University Admissions Academically Fair?," CREATES Research Papers 2014-06, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Taisuke Otsu, 2011.
"Large Deviations of Realized Volatility,"
Cowles Foundation Discussion Papers
1798, Cowles Foundation for Research in Economics, Yale University.
- Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
- Shin Kanaya & Dennis Kristensen, 2010.
"Estimation of Stochastic Volatility Models by Nonparametric Filtering,"
CREATES Research Papers
2010-67, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Articles
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015.
"Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series,"
Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers 2013-29, Department of Economics and Business Economics, Aarhus University.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics Working Papers 2009-26, University of Adelaide, School of Economics.
- Kanaya, Shin & Otsu, Taisuke, 2012.
"Large deviations of realized volatility,"
Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
- Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.
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
- Kanaya, Shin, 2016.
"Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes,"
Discussion Paper Series
646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya, 2015.
"Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach,"
CREATES Research Papers
2015-50, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kanaya, Shin, 2016.
"Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes,"
Discussion Paper Series
646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Degui Li & Zudi Lu & Oliver Linton, 2011.
"Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,"
Monash Econometrics and Business Statistics Working Papers
16/11, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012. "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013.
"Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets,"
Economics Series Working Papers
646, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," NBER Working Papers 18833, National Bureau of Economic Research, Inc.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," CREATES Research Papers 2013-06, Department of Economics and Business Economics, Aarhus University.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014.
"Are University Admissions Academically Fair?,"
CREATES Research Papers
2014-06, Department of Economics and Business Economics, Aarhus University.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017. "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 449-464, July.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2012. "Are University Admissions Academically Fair?," Economics Series Working Papers 608, University of Oxford, Department of Economics.
- Kanaya, S. & Bhattacharya, D., 2017. "Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve," Cambridge Working Papers in Economics 1760, Faculty of Economics, University of Cambridge.
- Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
- Kim, Jihyun & Park, Joon & Wang, Bin, 2020. "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers 20-1096, Toulouse School of Economics (TSE).
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013.
"Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,"
CREATES Research Papers
2013-29, Department of Economics and Business Economics, Aarhus University.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics Working Papers 2009-26, University of Adelaide, School of Economics.
Cited by:
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Federico M Bandi & Valentina Corradi & Daniel Wilhelm, 2016. "Possibly Nonstationary Cross-Validation," CeMMAP working papers CWP11/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
- Kim, Jihyun & Park, Joon Y., 2017. "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, vol. 196(1), pages 37-54.
- Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
- Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016.
"Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 32(3), pages 655-685, June.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers 1929, Cowles Foundation for Research in Economics, Yale University.
- Degui Li & Peter C. B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Monash Econometrics and Business Statistics Working Papers 27/13, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
- Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
- James A. Duffy, 2015. "Uniform Convergence Rates over Maximal Domains in Structural Nonparametric Cointegrating Regression," Economics Papers 2015-W03, Economics Group, Nuffield College, University of Oxford.
- Li, Degui & Li, Runze, 2016. "Local composite quantile regression smoothing for Harris recurrent Markov processes," Journal of Econometrics, Elsevier, vol. 194(1), pages 44-56.
- Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
- Yayi Yan & Jiti Gao & Bin Peng, 2021. "Asymptotics for Time-Varying Vector MA(∞) Processes," Monash Econometrics and Business Statistics Working Papers 22/21, Monash University, Department of Econometrics and Business Statistics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013.
"Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets,"
Economics Series Working Papers
646, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," NBER Working Papers 18833, National Bureau of Economic Research, Inc.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," CREATES Research Papers 2013-06, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Rokhaya Dieye & Habiba Djebbari & Felipe Barrera-Osorio, 2014.
"Accounting for Peer Effects in Treatment Response,"
Working Papers
halshs-01025680, HAL.
- Dieye, Rokhaya & Djebbari, Habiba & Barrera-Osorio, Felipe, 2014. "Accounting for Peer Effects in Treatment Response," IZA Discussion Papers 8340, Institute of Labor Economics (IZA).
- Rokhaya Dieye & Habiba Djebbari & Felipe Barrera-Osorio, 2014. "Accounting for Peer Effects in Treatment Response," AMSE Working Papers 1435, Aix-Marseille School of Economics, France, revised Jul 2014.
- Debopam Bhattacharya, 2013.
"Nonparametric Welfare Analysis for Discrete Choice,"
Economics Series Working Papers
669, University of Oxford, Department of Economics.
- Debopam Bhattacharya, 2015. "Nonparametric Welfare Analysis for Discrete Choice," Econometrica, Econometric Society, vol. 83, pages 617-649, March.
- Pascaline Dupas & Edward Miguel, 2016. "Impacts and Determinants of Health Levels in Low-Income Countries," NBER Working Papers 22235, National Bureau of Economic Research, Inc.
- Davide Viviano, 2020. "Policy design in experiments with unknown interference," Papers 2011.08174, arXiv.org, revised Feb 2022.
- Bhattacharya, D. & Dupas, P. & Kanaya, S., 2018. "Demand and Welfare Analysis in Discrete Choice Models under Social Interactions," Cambridge Working Papers in Economics 1885, Faculty of Economics, University of Cambridge.
- Michael P. Leung, 2020. "Treatment and Spillover Effects Under Network Interference," The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 368-380, May.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2012.
"Are University Admissions Academically Fair?,"
Economics Series Working Papers
608, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017. "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 449-464, July.
- Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014. "Are University Admissions Academically Fair?," CREATES Research Papers 2014-06, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Arcidiacono, Peter & Kinsler, Josh & Ransom, Tyler, 2022.
"Asian American Discrimination in Harvard Admissions,"
European Economic Review, Elsevier, vol. 144(C).
- Arcidiacono, Peter & Kinsler, Josh & Ransom, Tyler, 2020. "Asian American Discrimination in Harvard Admissions," IZA Discussion Papers 13172, Institute of Labor Economics (IZA).
- Peter Arcidiacono & Josh Kinsler & Tyler Ransom, 2020. "Asian American Discrimination in Harvard Admissions," NBER Working Papers 27068, National Bureau of Economic Research, Inc.
- Karlsson, Linn & Wikström, Magnus, 2021. "Gender differences in admission scores and first-year university achievement," Umeå Economic Studies 1001, Umeå University, Department of Economics.
- Debopam Bhattacharya, 2012.
"Evaluating Treatment Protocols using Data Combination,"
Economics Series Working Papers
609, University of Oxford, Department of Economics.
- Bhattacharya, Debopam, 2013. "Evaluating treatment protocols using data combination," Journal of Econometrics, Elsevier, vol. 173(2), pages 160-174.
- Sevilla, Almudena & Borra, Cristina, 2015. "Parental Time Investments in Children: The Role of Competition for University Places in the UK," IZA Discussion Papers 9168, Institute of Labor Economics (IZA).
- Bhattacharya, D. & Shvets, J., 2022. "Inferring the Performance Diversity Trade-Off in University Admissions: Evidence from Cambridge," Cambridge Working Papers in Economics 2238, Faculty of Economics, University of Cambridge.
- Bhattacharya, D. & Rabovic, R., 2020. "Do Elite Universities Practise Meritocratic Admissions? Evidence from Cambridge," Cambridge Working Papers in Economics 2056, Faculty of Economics, University of Cambridge.
- Shin Kanaya & Taisuke Otsu, 2011.
"Large Deviations of Realized Volatility,"
Cowles Foundation Discussion Papers
1798, Cowles Foundation for Research in Economics, Yale University.
- Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
Cited by:
- Djellout, Hacène & Samoura, Yacouba, 2014. "Large and moderate deviations of realized covolatility," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 30-37.
- Hacène Djellout & Hui Jiang, 2018. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Post-Print hal-01147189, HAL.
- Hacène Djellout & Hui Jiang, 2018. "Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1606-1624, September.
- Xinwei Feng & Lidan He & Zhi Liu, 2022. "Large Deviation Principles of Realized Laplace Transform of Volatility," Journal of Theoretical Probability, Springer, vol. 35(1), pages 186-208, March.
- Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
- Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2017. "Large Deviations Of The Realized (Co-)Volatility Vector," Post-Print hal-01082903, HAL.
- Shin Kanaya & Dennis Kristensen, 2010.
"Estimation of Stochastic Volatility Models by Nonparametric Filtering,"
CREATES Research Papers
2010-67, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Liu, Qiang & Liu, Yiqi & Liu, Zhi & Wang, Li, 2018. "Estimation of spot volatility with superposed noisy data," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 62-79.
- Kanaya, Shin, 2016.
"Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes,"
Discussion Paper Series
646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Andrew Ang & Dennis Kristensen, 2011.
"Testing Conditional Factor Models,"
NBER Working Papers
17561, National Bureau of Economic Research, Inc.
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
- Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Post-Print halshs-01244292, HAL.
- Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao, 2014. "Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 572-591, November.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Janeway Institute Working Papers
2208, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020.
"Diffusion Copulas: Identification and Estimation,"
Papers
2005.03513, arXiv.org.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Bandi, Federico & Corradi, Valentina & Moloche, Guillermo, 2009. "Bandwidth selection for continuous-time Markov processes," MPRA Paper 43682, University Library of Munich, Germany.
- Park, Joon Y. & Wang, Bin, 2021. "Nonparametric estimation of jump diffusion models," Journal of Econometrics, Elsevier, vol. 222(1), pages 688-715.
- Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
- Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
- Matthieu Garcin & Clément Goulet, 2015. "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne 15086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
- Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
- Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244292, HAL.
- Li, Jia & Patton, Andrew J., 2018.
"Asymptotic inference about predictive accuracy using high frequency data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
- Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers 13-27, Duke University, Department of Economics.
- Kim, Jihyun & Park, Joon & Wang, Bin, 2020. "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers 20-1096, Toulouse School of Economics (TSE).
- Giacomo Toscano & Maria Cristina Recchioni, 2022. "Bias-optimal vol-of-vol estimation: the role of window overlapping," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 137-185, June.
- Michael Creel & Dennis Kristensen, 2014.
"ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models,"
CREATES Research Papers
2014-30, Department of Economics and Business Economics, Aarhus University.
- Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
- Arthur T. Rego & Thiago R. dos Santos, 2018. "Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler," Papers 1809.01501, arXiv.org, revised Oct 2018.
- Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina, 2018. "Spot volatility estimation using the Laplace transform," Econometrics and Statistics, Elsevier, vol. 6(C), pages 22-43.
- Zu, Yang, 2015. "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, vol. 187(1), pages 323-344.
Articles
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
See citations under working paper version above.
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015.
"Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series,"
Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
See citations under working paper version above.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers 2013-29, Department of Economics and Business Economics, Aarhus University.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics Working Papers 2009-26, University of Adelaide, School of Economics.
- Kanaya, Shin & Otsu, Taisuke, 2012.
"Large deviations of realized volatility,"
Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
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 11 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.- NEP-ECM: Econometrics (5) 2010-10-23 2011-05-14 2015-11-21 2016-08-28 2016-09-11. Author is listed
- NEP-ETS: Econometric Time Series (5) 2010-10-23 2015-08-19 2015-11-21 2016-08-28 2016-09-11. Author is listed
- NEP-EDU: Education (2) 2012-06-25 2014-03-08
- NEP-ORE: Operations Research (2) 2010-10-23 2015-08-19
- NEP-AFR: Africa (1) 2013-03-09
- NEP-HEA: Health Economics (1) 2013-03-16
- NEP-LAB: Labour Economics (1) 2012-06-25
- NEP-MST: Market Microstructure (1) 2011-05-14
- NEP-RMG: Risk Management (1) 2011-05-14
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Shin Kanaya should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.