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金利プロセスと期間構造の特異性のモデル化と統計的検証

金利プロセスと期間構造の特異性のモデル化と統計的検証
Paper図書
倉澤資成, 横浜国立大学 [著][倉澤資成]2005-2007<Y151-H17530239>
National Diet Library
  • Subject Headingカルマンフィルター / ジャンプ / Stochastic Volatility / EGARCH

Essays on Business Cycles and Monetary Policy

Essays on Business Cycles and Monetary Policy
Digital博士論文障害者向け資料あり
Le, Vu Hai2022-09-26
Available onlineNational Diet LibraryOther Libraries in Japan
  • Subject Heading...onetary Policy Stochastic Volatility GARCH

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility
Digital文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2023-10Discussion Paper, Series ENo. E-28p.1-28
Other Libraries in Japan
  • Subject Heading...t problem CAPM Stochastic volatility Stochastic inflation

Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk

Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk
Digital文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-04Discussion Paper, Series ENo. E-35p.1-41
Other Libraries in Japan
  • Subject Heading...t problem CAPM Stochastic volatility Stochastic inflation

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
Paper文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2020-01Discussion Papers In Economics And Business20-02p.1-46
Other Libraries in Japan
  • Subject HeadingForecasting Multivariate Stochastic Volatility Oracle Property Penalised M-e...
  • Note (General)Although multivariate stochastic volatility (MSV) models usually produce ...

High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
Digital文書・図像類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
Available onlineOther Libraries in Japan
  • Summary, etc.A new high-frequency realized stochastic volatility model is propo......aily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit t......high-frequency stochastic volatility model by consi......uency realized stochastic volatility model improves in-sample mode...
  • Subject Heading...zed volatility Stochastic volatility model Volatility forecasting

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand
Digital文書・図像類
Kikuchi, Kentaro, Kusuda, KoujiThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-02Discussion Paper, Series ENo. E-21p.1-31
Other Libraries in Japan
  • Subject Heading...deflation risk Stochastic volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
Digital文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, YasuhiroHitotsubashi Institute for Advanced Study, Hitotsubashi University2021-01
Available onlineOther Libraries in Japan
  • Summary, etc....els such as thestochastic volatility (SV) and exponential GARCH (E...
  • Subject Heading...zed volatility Stochastic volatility Volatility forecasting

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR
Digital文書・図像類
Kim, Dukpa, Yamamoto, YoheiInstitute of Economic Research, Hitotsubashi University2013-02
Available onlineOther Libraries in Japan
  • Summary, etc....h multivariate stochastic volatility. Our model has a smaller numb...
  • Subject HeadingTime Varying Monetary Policy Rule In㌢tion Persistence Multivariate Stochastic Volatility

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Summary, etc....factor Wishart stochastic volatility (AMWSV) diffusion process whi...
  • Subject HeadingMultivariate Stochastic Volatility Wishart Process Leverage Effe...

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-07Discussion paper series. CIRJE-FCIRJE-F-897
Other Libraries in Japan
  • Subject Heading...oock functions Stochastic volatility model Option price Greeks

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
Paper文書・図像類
Kato, Takashi, Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-01Discussion paper series. CIRJE-FCIRJE-F-873
Other Libraries in Japan
  • Subject HeadingBarrier Option Up-and-Out Call Option Asymptotic Expansion Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-02KIER Discussion Paper848
Available onlineOther Libraries in Japan
  • Summary, etc....e multivariate stochastic volatility models. We pro......grated Wishart stochastic volatility (FIWSV) process. We derive th...
  • Subject Heading...s Multivariate stochastic volatility Long memory Fractional Browni...

The Great Moderation in the Japanese Economy

The Great Moderation in the Japanese Economy
Digital文書・図像類
Ko, Jun-Hyung, Murase, KoichiResearch Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2012-05
Available onlineOther Libraries in Japan
  • Subject Heading... parameter VAR Stochastic volatility Technology shocks

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2013-11Discussion paper series. CIRJE-FCIRJE-F-907
Other Libraries in Japan
  • Subject Heading...r multivariate stochastic volatility

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan
  • Subject Heading...r Multivariate stochastic volatility

Parametric Inference and Dynamic State Recovery from Option Panels

Parametric Inference and Dynamic State Recovery from Option Panels
Digital文書・図像類
Andersen, Torben G., Fusari, Nicola, Todorov, ViktorInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Summary, etc....ar double-jump stochastic volatility model to allow for time-varyi...
  • Subject Heading...t State Vector Stochastic Volatility Specification Testing Stable ...

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper739
Available onlineOther Libraries in Japan
  • Summary, etc.The stochastic volatility model usually ......new asymmetric stochastic volatility model, based on the leverage ...
  • Subject HeadingStochastic volatility asymmetric effects leverage t...

The Great Moderation in the Japanese Economy

The Great Moderation in the Japanese Economy
Paper文書・図像類
Ko, Jun-Hyung, Murase, KoichiResearch Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2010-07
Other Libraries in Japan
  • Subject HeadingJapanese economy Great moderation time varying coefficients stochastic volatility technology shocks

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Digital文書・図像類
Ishida, Isao, McAleer, Michael, Oya, KosukeInstitute of Economic Research, Kyoto University2011-02KIER Discussion Paper759
Available onlineOther Libraries in Japan
  • Summary, etc....ontinuous-time stochastic volatility (SV) models for the S&P 500 s...
  • Subject HeadingContinuous time high frequency data stochastic volatility S&P 500 implied volatility VI...
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