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Author ID: kunitomo.naoto Recent zbMATH articles by "Kunitomo, Naoto"
Published as: Kunitomo, Naoto

Publications by Year

Citations contained in zbMATH Open

35 Publications have been cited 387 times in 293 Documents Cited by Year
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
79
1992
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
62
2001
Asymptotic expansions of the distributions of estimators in a linear functional relationship and simultaneous equations. Zbl 0446.62021
Kunitomo, Naoto
35
1980
On validity of the asymptotic expansion approach in contingent claim analysis. Zbl 1091.91037
Kunitomo, Naoto; Takahashi, Akihiko
32
2003
Properties of predictors in misspecified autoregressive time series models. Zbl 0588.62171
Kunitomo, Naoto; Yamamoto, Taku
29
1985
On the asymptotic optimality of the LIML estimator with possibly many instruments. Zbl 1400.62052
Anderson, T. W.; Kunitomo, Naoto; Matsushita, Yukitoshi
21
2010
Evaluation of the distribution function of the limited information maximum likelihood estimator. Zbl 0486.62110
Anderson, T. W.; Kunitomo, Naoto; Sawa, Takamitsu
18
1982
Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363
Kim, Yong-Jin; Kunitomo, Naoto
13
1999
Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances. Zbl 0755.62023
Anderson, T. W.; Kunitomo, Naoto
11
1992
Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system. Zbl 0483.62010
Fujikoshi, Yasunori; Morimune, Kimio; Kunitomo, Naoto; Taniguchi, Masanobu
11
1982
Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems. Zbl 1191.91057
Kunitomo, Naoto; Takahashi, Akihiko
9
2004
Some properties of the LIML estimator in a dynamic panel structural equation. Zbl 1441.62578
Akashi, Kentaro; Kunitomo, Naoto
8
2012
Tests of overidentification and predeterminedness in simultaneous equation models. Zbl 0755.62083
Anderson, T. W.; Kunitomo, Naoto
6
1992
On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments. Zbl 1441.62588
Anderson, T. W.; Kunitomo, Naoto; Matsushita, Yukitoshi
6
2011
Asymptotic bias of the least squares estimator for multivariate autoregressive models. Zbl 0573.62028
Yamamoto, Taku; Kunitomo, Naoto
5
1984
An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity. Zbl 1254.62119
Kunitomo, Naoto
5
2012
Separating information maximum likelihood method for high-frequency financial data. Zbl 1416.91004
Kunitomo, Naoto; Sato, Seisho; Kurisu, Daisuke
5
2018
Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations. Zbl 1163.62010
Kunitomo, Naoto; Matsushita, Yukitoshi
4
2009
The limited information maximum likelihood approach to dynamic panel structural equation models. Zbl 1331.62451
Akashi, Kentaro; Kunitomo, Naoto
3
2015
Some properties of the maximum likelihood estimator in the simultaneous switching autoregressive model. Zbl 0854.62086
Sato, Seisho; Kunitomo, Naoto
3
1996
Asymptotic expansions of the distributions of the test statistics for overidentifying restrictions in a system of simultaneous equations. Zbl 0534.62086
Kunitomo, Naoto; Morimune, Kimio; Tsukuda, Yoshihiko
3
1983
Asymptotic robustness of tests of overidentification and predeterminedness. Zbl 0815.62032
Anderson, T. W.; Kunitomo, Naoto
3
1994
A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics. Zbl 0722.62071
Kunitomo, Naoto
3
1987
Simultaneous multivariate Hawkes-type point processes and their application to financial markets. Zbl 1430.62251
Kunitomo, Naoto; Kurisu, Daisuke; Awaya, Naoki
2
2018
Effects of jumps and small noise in high-frequency financial econometrics. Zbl 1418.91610
Kunitomo, Naoto; Kurisu, Daisuke
1
2017
Comparing some modified maximum likelihood estimators of a slope coefficient in a linear functional relationship. Zbl 0629.62033
Kunitomo, Naoto
1
1986
On multi-period statistical risk management methods and equity-linked life insurance. Zbl 1157.62523
Kunitomo, Naoto; Ichiba, Tomoyuki
1
2006
Improving the maximum likelihood estimate in linear functional relationships for alternative parameter sequences. Zbl 0448.62050
Morimune, Kimio; Kunitomo, Naoto
1
1980
Testing a hypothesis about a structural coefficient in a simultaneous equation model for known covariance matrix. Zbl 1497.62132
Anderson, Theodore W.; Kunitomo, Naoto
1
2009
Local SIML estimation of some Brownian and jump functionals under market micro-structure noise. Zbl 1499.62381
Kunitomo, Naoto; Sato, Seisho
1
2022
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise. Zbl 1214.91141
Kunitomo, Naoto; Sato, Seisho
1
2011
Comparing estimation methods of non-stationary errors-in-variables models. Zbl 1447.62131
Kunitomo, Naoto; Awaya, Naoki; Kurisu, Daisuke
1
2020
Causality analysis of financial markets by using the multivariate Hawkes type models. Zbl 07387538
Kunitomo, Naoto; Ehara, Ayao; Kurisu, Daisuke
1
2017
A robust-filtering method for noisy non-stationary multivariate time series with econometric applications. Zbl 1477.62261
Kunitomo, Naoto; Sato, Seisho
1
2021
Detecting factors of quadratic variation in the presence of market microstructure noise. Zbl 1477.62297
Kunitomo, Naoto; Kurisu, Daisuke
1
2021
Local SIML estimation of some Brownian and jump functionals under market micro-structure noise. Zbl 1499.62381
Kunitomo, Naoto; Sato, Seisho
1
2022
A robust-filtering method for noisy non-stationary multivariate time series with econometric applications. Zbl 1477.62261
Kunitomo, Naoto; Sato, Seisho
1
2021
Detecting factors of quadratic variation in the presence of market microstructure noise. Zbl 1477.62297
Kunitomo, Naoto; Kurisu, Daisuke
1
2021
Comparing estimation methods of non-stationary errors-in-variables models. Zbl 1447.62131
Kunitomo, Naoto; Awaya, Naoki; Kurisu, Daisuke
1
2020
Separating information maximum likelihood method for high-frequency financial data. Zbl 1416.91004
Kunitomo, Naoto; Sato, Seisho; Kurisu, Daisuke
5
2018
Simultaneous multivariate Hawkes-type point processes and their application to financial markets. Zbl 1430.62251
Kunitomo, Naoto; Kurisu, Daisuke; Awaya, Naoki
2
2018
Effects of jumps and small noise in high-frequency financial econometrics. Zbl 1418.91610
Kunitomo, Naoto; Kurisu, Daisuke
1
2017
Causality analysis of financial markets by using the multivariate Hawkes type models. Zbl 07387538
Kunitomo, Naoto; Ehara, Ayao; Kurisu, Daisuke
1
2017
The limited information maximum likelihood approach to dynamic panel structural equation models. Zbl 1331.62451
Akashi, Kentaro; Kunitomo, Naoto
3
2015
Some properties of the LIML estimator in a dynamic panel structural equation. Zbl 1441.62578
Akashi, Kentaro; Kunitomo, Naoto
8
2012
An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity. Zbl 1254.62119
Kunitomo, Naoto
5
2012
On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments. Zbl 1441.62588
Anderson, T. W.; Kunitomo, Naoto; Matsushita, Yukitoshi
6
2011
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise. Zbl 1214.91141
Kunitomo, Naoto; Sato, Seisho
1
2011
On the asymptotic optimality of the LIML estimator with possibly many instruments. Zbl 1400.62052
Anderson, T. W.; Kunitomo, Naoto; Matsushita, Yukitoshi
21
2010
Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations. Zbl 1163.62010
Kunitomo, Naoto; Matsushita, Yukitoshi
4
2009
Testing a hypothesis about a structural coefficient in a simultaneous equation model for known covariance matrix. Zbl 1497.62132
Anderson, Theodore W.; Kunitomo, Naoto
1
2009
On multi-period statistical risk management methods and equity-linked life insurance. Zbl 1157.62523
Kunitomo, Naoto; Ichiba, Tomoyuki
1
2006
Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems. Zbl 1191.91057
Kunitomo, Naoto; Takahashi, Akihiko
9
2004
On validity of the asymptotic expansion approach in contingent claim analysis. Zbl 1091.91037
Kunitomo, Naoto; Takahashi, Akihiko
32
2003
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
62
2001
Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363
Kim, Yong-Jin; Kunitomo, Naoto
13
1999
Some properties of the maximum likelihood estimator in the simultaneous switching autoregressive model. Zbl 0854.62086
Sato, Seisho; Kunitomo, Naoto
3
1996
Asymptotic robustness of tests of overidentification and predeterminedness. Zbl 0815.62032
Anderson, T. W.; Kunitomo, Naoto
3
1994
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
79
1992
Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances. Zbl 0755.62023
Anderson, T. W.; Kunitomo, Naoto
11
1992
Tests of overidentification and predeterminedness in simultaneous equation models. Zbl 0755.62083
Anderson, T. W.; Kunitomo, Naoto
6
1992
A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics. Zbl 0722.62071
Kunitomo, Naoto
3
1987
Comparing some modified maximum likelihood estimators of a slope coefficient in a linear functional relationship. Zbl 0629.62033
Kunitomo, Naoto
1
1986
Properties of predictors in misspecified autoregressive time series models. Zbl 0588.62171
Kunitomo, Naoto; Yamamoto, Taku
29
1985
Asymptotic bias of the least squares estimator for multivariate autoregressive models. Zbl 0573.62028
Yamamoto, Taku; Kunitomo, Naoto
5
1984
Asymptotic expansions of the distributions of the test statistics for overidentifying restrictions in a system of simultaneous equations. Zbl 0534.62086
Kunitomo, Naoto; Morimune, Kimio; Tsukuda, Yoshihiko
3
1983
Evaluation of the distribution function of the limited information maximum likelihood estimator. Zbl 0486.62110
Anderson, T. W.; Kunitomo, Naoto; Sawa, Takamitsu
18
1982
Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system. Zbl 0483.62010
Fujikoshi, Yasunori; Morimune, Kimio; Kunitomo, Naoto; Taniguchi, Masanobu
11
1982
Asymptotic expansions of the distributions of estimators in a linear functional relationship and simultaneous equations. Zbl 0446.62021
Kunitomo, Naoto
35
1980
Improving the maximum likelihood estimate in linear functional relationships for alternative parameter sequences. Zbl 0448.62050
Morimune, Kimio; Kunitomo, Naoto
1
1980
all top 5

Cited by 405 Authors

22 Takahashi, Akihiko
18 Kunitomo, Naoto
10 Yamada, Toshihiro
8 Ing, Ching-Kang
5 Anderson, Theodore Wilbur jun.
5 Fujii, Masaaki
5 Li, Chenxu
5 Sato, Seisho
4 Kurisu, Daisuke
4 Matsushita, Yukitoshi
4 Muroi, Yoshifumi
4 Takehara, Kohta
3 Cai, Ning
3 Guillaume, Tristan
3 Hsiao, Cheng
3 Hui, Cho-Hoi
3 Jun, Doobae
3 Ku, Hyejin
3 Lo, Chi-Fai
3 Long, Hongwei
3 Lyuu, Yuh-Dauh
3 Newey, Whitney Kent
3 Okui, Ryo
3 Qumsiyeh, Maher B.
3 Shimizu, Yasutaka
3 Shiraya, Kenichiro
3 Wu, Jianglun
3 Yang, Hailiang
3 Yoshida, Nakahiro
3 Yu, Shuhui
3 Zhou, Qiankun
2 Akashi, Kentaro
2 Awaya, Naoki
2 Bekker, Paul A.
2 Carrasco, Marine
2 Chan, Ngai Hang
2 Chao, John C.
2 Chen, Bin
2 Cordoni, Francesco Giuseppe
2 Cui, Zhenyu
2 Di Persio, Luca
2 Dias, José Carlos
2 Fabozzi, Frank J.
2 Fukasawa, Masaaki
2 Gaudenzi, Marcellino
2 Gobet, Emmanuel
2 Greenaway-McGrevy, Ryan
2 Hausman, Jerry Allen
2 Hayakawa, Kazuhiko
2 Ishikawa, Yasushi
2 Jacquier, Antoine
2 Jansson, Michael
2 Kim, Jerim
2 Lee, Yoonseok
2 Li, Jingjie
2 Liu, Xiaodong
2 Magdalinos, Michael A.
2 Mijatović, Aleksandar
2 Miri, Mohammed
2 Oberhelman, Dennis
2 Oosterlee, Cornelis Willebrordus
2 Park, Chang-Rae
2 Roome, Patrick
2 Shi, Chao
2 Shu, Huisheng
2 Siu, Tak Kuen
2 Swanson, Norman Rasmus
2 Symeonides, Spyridon D.
2 Tchuente, Guy
2 Toda, Masashi
2 Tsuchida, Yoshifumi
2 Uchida, Masayuki
2 Wang, Wenjie
2 Wang, Xuejun
2 Wei, Ching-Zong
2 Woutersen, Tiemen M.
2 Xu, Guoping
2 Yoon, Ji-Hun
2 Zanette, Antonino
2 Zhang, Xuekang
2 Zheng, Harry H.
1 Agnihotri, B. S.
1 Ahn, Byung Chul
1 Aït-Sahalia, Yacine
1 Al-Boutiahi, F. H. M.
1 Alavi-Shoshtari, Maryam
1 Albeverio, Sergio A.
1 Alraddadi, R.
1 Altay, Sühan
1 An, Yu
1 Anatolyev, Stanislav
1 Andrews, Donald Wilfrid Kao
1 Antonelli, Fabio
1 Appolloni, Elisa
1 Armstrong, Grant F.
1 Atkinson, Colin
1 Avellaneda, Marco
1 Bae, Hyeong-Ohk
1 Ballestra, Luca Vincenzo
1 Bekiros, Stelios D.
...and 305 more Authors
all top 5

Cited in 95 Serials

40 Journal of Econometrics
22 International Journal of Theoretical and Applied Finance
14 Quantitative Finance
12 Econometric Theory
12 Asia-Pacific Financial Markets
9 Communications in Statistics. Theory and Methods
8 Econometric Reviews
8 Stochastic Processes and their Applications
8 Applied Mathematical Finance
7 Journal of Multivariate Analysis
7 Statistics & Probability Letters
6 The Annals of Statistics
6 Journal of Time Series Analysis
5 Annals of the Institute of Statistical Mathematics
5 Journal of Computational and Applied Mathematics
5 Journal of Economic Dynamics & Control
5 Japanese Journal of Statistics and Data Science
4 The Annals of Applied Probability
3 Mathematics of Operations Research
3 Stochastic Analysis and Applications
3 Mathematical Finance
3 Decisions in Economics and Finance
3 Electronic Journal of Statistics
2 Computers & Mathematics with Applications
2 Journal of Mathematical Analysis and Applications
2 Metrika
2 Applied Mathematics and Computation
2 Journal of Statistical Planning and Inference
2 Mathematics and Computers in Simulation
2 Insurance Mathematics & Economics
2 Economics Letters
2 International Journal of Computer Mathematics
2 Journal of Statistical Computation and Simulation
2 Statistical Papers
2 Finance and Stochastics
2 Discrete Dynamics in Nature and Society
2 Review of Derivatives Research
2 SIAM Journal on Financial Mathematics
1 Journal of Computational Physics
1 Journal of Statistical Physics
1 Mathematical Biosciences
1 Mathematical Methods in the Applied Sciences
1 Scandinavian Journal of Statistics
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Mathematische Nachrichten
1 Statistica Neerlandica
1 Theoretical Computer Science
1 Advances in Applied Mathematics
1 Operations Research Letters
1 Acta Applicandae Mathematicae
1 Applied Numerical Mathematics
1 Statistics
1 Statistical Science
1 Annals of Operations Research
1 Japan Journal of Industrial and Applied Mathematics
1 Applications of Mathematics
1 Communications in Statistics. Simulation and Computation
1 European Journal of Operational Research
1 Linear Algebra and its Applications
1 Applied Mathematics. Series B (English Edition)
1 Applicationes Mathematicae
1 The Electronic Journal of Combinatorics
1 Statistica Sinica
1 Monte Carlo Methods and Applications
1 Electronic Journal of Probability
1 Mathematical Problems in Engineering
1 Abstract and Applied Analysis
1 Journal of Applied Mathematics and Decision Sciences
1 Journal of Applied Statistics
1 Probability in the Engineering and Informational Sciences
1 Brazilian Journal of Probability and Statistics
1 Mathematical Geology
1 Stochastic Models
1 Journal of Machine Learning Research (JMLR)
1 ASTIN Bulletin
1 North American Actuarial Journal
1 Advances in Difference Equations
1 Journal of Forecasting
1 Journal of the Korean Statistical Society
1 Algebra & Number Theory
1 The Annals of Applied Statistics
1 International Journal of Stochastic Analysis
1 Eurasian Mathematical Journal
1 Journal of Applied Mathematics & Informatics
1 Annals of Finance
1 Numerical Algebra, Control and Optimization
1 ISRN Applied Mathematics
1 Journal of the Operations Research Society of China
1 JSIAM Letters
1 Journal of Econometric Methods
1 International Journal of Applied and Computational Mathematics
1 Journal of the Japan Statistical Society. Japanese Issue
1 SN Partial Differential Equations and Applications
1 Environmetrics

Citations by Year