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複雑系現象の時系列解析と抽出された分離性の確率過程論的研究

複雑系現象の時系列解析と抽出された分離性の確率過程論的研究
Paper図書
松浦真也, 愛媛大学, 東京大学 [著][松浦真也]2005-2007<Y151-H17340024>
National Diet Library
  • Subject HeadingKM_2O-ランジュヴァン方程式 / 非線形情報解析 / Test (ABN-S) / Test (ABN-EP) / 分離性 / 深部低周波地震 / Nikkei 225 / 電磁波

Information asymmetry, non-scheduled announcements and the persistence of price pressure effects around Nikkei 225 index revisions

Information asymmetry, non-scheduled announcements and the persistence of price pressure effects around Nikkei 225 index revisions
Digital文書・図像類
Afego, Pyemo, 瀧本, 太郎Faculty of Economics, Kyushu University2019-07経済学研究院ディスカッション・ペーパー2019 4
Available onlineOther Libraries in Japan
  • Summary, etc.... data from the Nikkei 225 and liquidity as a proxy for ...
  • Subject HeadingIndex rebalancing Event study Price pressure Nikkei 225 Information asymmetry

Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Summary, etc....options on the Nikkei 225 index are: (1) ARFIMAX model ...
  • Subject Headingmicrostructure noise Nikkei 225 stock index non-trading hours...

An empirical analysis of the Nikkei 225 put options using realized GARCH models

An empirical analysis of the Nikkei 225 put options using realized GARCH models
Digital文書・図像類
竹内, 明香Institute of Economic Research, Hitotsubashi University2012-09
Available onlineOther Libraries in Japan
  • Summary, etc....ul for pricing Nikkei 225 put options. One advantage of...
  • Subject Headingput option pricing realized GARCH non-trading hours microstructure noise Nikkei 225 stock index

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Digital文書・図像類
石田, 功, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Summary, etc....high-frequency Nikkei 225 data. While th......predicting the Nikkei 225 realized volat......atility of the Nikkei 225 volatility captured by the AR...
  • Subject Heading...High-frequency Nikkei 225 data

Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise

Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise
Paper文書・図像類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-11Discussion paper series. CIRJE-FCIRJE-F-601
Other Libraries in Japan
  • Subject Heading...elihood (SIML) Nikkei 225 Futures Tick Size Effects

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Paper文書・図像類
Ishida, Isao, Toshiaki, Watanabe日本経済国際共同センター2009-01Discussion paper series. CIRJE-FCIRJE-F-608
Other Libraries in Japan
  • Subject Heading...High-frequency Nikkei 225 data

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