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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

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

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

Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model

Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model
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 University2024-11Discussion Paper, Series EE-38p.1-29
Other Libraries in Japan

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

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

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

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

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

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 numbe...

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

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

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

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

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

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
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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

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

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

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
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