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Hideyuki Takamizawa

Personal Details

First Name:Hideyuki
Middle Name:
Last Name:Takamizawa
Suffix:
RePEc Short-ID:pta316
[This author has chosen not to make the email address public]
http://cm.hit-u.ac.jp/~takamizawa/Eng4.htm

Affiliation

Graduate School of Commerce and Management
Hitotsubashi University

Tokyo, Japan
http://www.cm.hit-u.ac.jp/

:


RePEc:edi:cmhitjp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
  2. Takamizawa, Hideyuki, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
  3. Takamizawa, Hideyuki, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
  4. Hideyuki Takamizawa, 2010. "Term Structure Models Can Predict Interest Rate Volatility. But How?," Tsukuba Economics Working Papers 2010-008, Economics, Graduate School of Humanities and Social Sciences, University of Tsukuba.
  5. Hideyuki Takamizawa, 2009. "An Approximation of European Option Prices under General Diffusion Processes," Tsukuba Economics Working Papers 2009-008, Economics, Graduate School of Humanities and Social Sciences, University of Tsukuba.
  6. Takamizawa, Hideyuki & Shoji, Isao, 2007. "Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach," Discussion Papers 2006-05, Graduate School of Economics, Hitotsubashi University.
  7. Takamizawa, Hideyuki, 2006. "Is Nonlinear Drift Implied by the Short-End of the Term Structure?," Discussion Papers 2006-08, Graduate School of Economics, Hitotsubashi University.

Articles

  1. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  2. Takamizawa, Hideyuki & Shoji, Isao, 2009. "Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 65-77, January.
  3. Hideyuki Takamizawa, 2008. "Is Nonlinear Drift Implied by the Short End of the Term Structure?," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 311-346, January.
  4. Hideyuki Takamizawa, 2007. "A Simple Measure for Examining the Proxy Problem of the Short-Rate," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 341-361, December.
  5. Hideyuki Takamizawa & Isao Shoji, 2004. "On the accuracy of the local linear approximation for the term structure of interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 151-157.

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. Takamizawa, Hideyuki, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.

    Cited by:

    1. TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.

  2. Hideyuki Takamizawa, 2010. "Term Structure Models Can Predict Interest Rate Volatility. But How?," Tsukuba Economics Working Papers 2010-008, Economics, Graduate School of Humanities and Social Sciences, University of Tsukuba.

    Cited by:

    1. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.

  3. Takamizawa, Hideyuki & Shoji, Isao, 2007. "Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach," Discussion Papers 2006-05, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.
    2. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
    3. Takamizawa, Hideyuki, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Center for Financial Research, Graduate School of Commerce and Management, Hitotsubashi University.

  4. Takamizawa, Hideyuki, 2006. "Is Nonlinear Drift Implied by the Short-End of the Term Structure?," Discussion Papers 2006-08, Graduate School of Economics, Hitotsubashi University.

    Cited by:

    1. Hideyuki Takamizawa, 2007. "A Simple Measure for Examining the Proxy Problem of the Short-Rate," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 341-361, December.
    2. Zhang, Shulin & Song, Peter X.-K. & Shi, Daimin & Zhou, Qian M., 2012. "Information ratio test for model misspecification on parametric structures in stochastic diffusion models," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 3975-3987.
    3. Cerrato, Mario & Lo, Chia Chun & Skindilias, Konstantinos, 2011. "Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions," SIRE Discussion Papers 2011-53, Scottish Institute for Research in Economics (SIRE).
    4. Christiansen, Charlotte, 2010. "Mean reversion in US and international short rates," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 286-296, December.
    5. Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, vol. 162(2), pages 189-212, June.
    6. Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011. "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers 2011_16, Business School - Economics, University of Glasgow.
    7. Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
    8. Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.

Articles

  1. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
    See citations under working paper version above.
  2. Takamizawa, Hideyuki & Shoji, Isao, 2009. "Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 65-77, January.
    See citations under working paper version above.
  3. Hideyuki Takamizawa, 2008. "Is Nonlinear Drift Implied by the Short End of the Term Structure?," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 311-346, January.
    See citations under working paper version above.
  4. Hideyuki Takamizawa & Isao Shoji, 2004. "On the accuracy of the local linear approximation for the term structure of interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 151-157.

    Cited by:

    1. Takamizawa, Hideyuki & Shoji, Isao, 2007. "Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach," Discussion Papers 2006-05, Graduate School of Economics, Hitotsubashi University.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 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-MAC: Macroeconomics (2) 2018-01-01 2018-01-08
  2. NEP-ORE: Operations Research (2) 2018-01-01 2018-01-08
  3. NEP-CBA: Central Banking (1) 2010-12-18
  4. NEP-FMK: Financial Markets (1) 2010-12-18
  5. NEP-FOR: Forecasting (1) 2010-12-18

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