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Search results 28

Stochastic volatility models with heavy-tailed distributions : a Bayesian analysis (IMES discussion paper series 2001-E-17)

Stochastic volatility models with heavy-tailed distributions : a Bayesian analysis (IMES discussion paper series 2001-E-17)
Digital電子書籍・電子雑誌障害者向け資料あり
Institute for Monetary and Economic Studies, Bank of Japan, Toshiaki Watanabe, Manabu Asai日本銀行2001-11
National Diet Library

ＩＭＥＳ　ＤＩＳＣＵＳＳＩＯＮ　ＰＡＰＥＲ　Ｅ　ＳＥＲＩＥＳ ２００１－Ｅ－１７

ＩＭＥＳ　ＤＩＳＣＵＳＳＩＯＮ　ＰＡＰＥＲ　Ｅ　ＳＥＲＩＥＳ ２００１－Ｅ－１７
Paper図書
ＩＮＳＴＩＴＵＴＥ　ＦＯＲ　ＭＯＮＥＴＡＲＹ2001.11
Other Libraries in Japan
  • Author HeadingＴｏｓｈｉａｋｉ, Ｗａｔａｎａｂｅ Ｍａｎａｂｕ, Ａｓａｉ

Multi-factor stochastic volatility models : a comparison to heavy-tailed or higher-order autoregressive volatility models

Multi-factor stochastic volatility models : a comparison to heavy-tailed or higher-order autoregressive volatility models
Paper図書
Manabu AsaiFaculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University2004
Other Libraries in Japan

Lag length selection of stochastic volatility models (Research paper series ; no.99011)

Lag length selection of stochastic volatility models (Research paper series ; no.99011)
Paper図書
[by]Manabu AsaiResearch Center for Finance, Ritsumeikan University2000.3<DA49-B7>
National Diet Library

Testing for serial correlation in the presence of stochastic volatility (Research paper series ; no.99008)

Testing for serial correlation in the presence of stochastic volatility (Research paper series ; no.99008)
Paper図書
[by]Manabu AsaiResearch Center for Finance, Ritsumeikan University1999.11<DA49-B6>
National Diet Library

Time series evidence on a new Keynesian theory of the output-inflation trade-off (Research paper series ; no.99001)

Time series evidence on a new Keynesian theory of the output-inflation trade-off (Research paper series ; no.99001)
Paper図書
[by]Manabu AsaiResearch Center for Finance, Ritsumeikan University1999.7<DA35-B1>
National Diet Library

The matrix-logarithmic constant correlations covariance model (Research paper series ; no.99002)

The matrix-logarithmic constant correlations covariance model (Research paper series ; no.99002)
Paper図書
[by]Manabu AsaiResearch Center for Finance, Ritsumeikan University1999.8<DA49-B4>
National Diet Library

Strong consistency of QML estimators for multivariate EGARCH models (Research paper series ; no.99003)

Strong consistency of QML estimators for multivariate EGARCH models (Research paper series ; no.99003)
Paper図書
[by]Manabu AsaiResearch Center for Finance, Ritsumeikan University1999.8<DA49-B5>
National Diet Library

創価経済論集

創価経済論集
Paper雑誌
創価大学経済学会 編創価大学経済学会1971-2016<Z3-1040>
National Diet LibraryOther Libraries in Japan
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Journal of the Japan Statistical Society

Journal of the Japan Statistical Society
Paper雑誌
Japan Statistical Society2004-c2017<Z76-A259>
National Diet LibraryOther Libraries in Japan
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Stochastic volatility models with heavy-tailed distributions : a bayesian analysis

Stochastic volatility models with heavy-tailed distributions : a bayesian analysis
Paper図書
Toshiaki Watanabe and Manabu AsaiBank of Japan. Institute for Monetary and Economic Studies2001
Other Libraries in Japan

Testing for serial correlation in the presence of stochastic volatility

Testing for serial correlation in the presence of stochastic volatility
Paper図書
by Manabu AsaiUniversity of Tsukuba1998
Other Libraries in Japan

Random walk stochastic volatility models

Random walk stochastic volatility models
Paper図書
by Manabu AsaiUniversity of Tsukuba1998
Other Libraries in Japan

Bayesian analysis of stochastic volatility models with heavy-tailed distributions

Bayesian analysis of stochastic volatility models with heavy-tailed distributions
Paper図書
by Manabu AsaiUniversity of Tsukuba1998
Other Libraries in Japan

A new method to estimate stochastic volatility models : a log-GARCH approach

A new method to estimate stochastic volatility models : a log-GARCH approach
Paper図書
by Manabu AsaiUniversity of Tsukuba1997
Other Libraries in Japan

日本統計学会誌

日本統計学会誌
Paper雑誌
日本統計学会 編日本統計学会1970-<Z3-1003>
National Diet LibraryOther Libraries in Japan
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Dynamic asymmetric leverage in stochastic volatility models

Dynamic asymmetric leverage in stochastic volatility models
Paper図書
Manabu Asai, Michael McAleerFaculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University2004
Other Libraries in Japan

Dynamic leverage and threshold effects in stochastic volatility models

Dynamic leverage and threshold effects in stochastic volatility models
Paper図書
Manabu Asai, Michael McAleerFaculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University2004
Other Libraries in Japan

Trading day effects in stochastic volatility and exponential GARCH models

Trading day effects in stochastic volatility and exponential GARCH models
Paper図書
Manabu Asai, Michael McAleerFaculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University2004
Other Libraries in Japan

Comparison of MCMC methods for estimating GARCH models

Comparison of MCMC methods for estimating GARCH models
Paper図書
Manabu Asai, Toshiaki WatanabeFaculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University2004
Other Libraries in Japan