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A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

A Dynamic Equilibrium Model for U-Shaped Pricing Kernels
Digital文書・図像類
YAMAZAKI, Akira法政大学イノベーション・マネジメント研究センター2017-02-10法政大学イノベーション・マネジメント研究センター ワーキングペーパーシリーズ173p.1-40
Other Libraries in Japan
  • Summary, etc...., and negative realized variance risk premiums. In particular,...
  • Subject Heading...l distribution realized variance

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2011-12
Available onlineOther Libraries in Japan
  • Summary, etc....ee implied and realized variances, are used to ......ed and ex-post realized variances, is useful in...... or modelbased realized variances, lose their predictive abili...
  • Subject Headingvariance risk premium predictability realized variance implied variance relative ris...

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Digital文書・図像類
ナガクラ, ダイスケ, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-08
Available onlineOther Libraries in Japan
  • Summary, etc.We call the realized variance (RV), calculated with observe...
  • Subject HeadingRealized Variance Integrated Variance Microstru...

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Digital文書・図像類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2010-02
Available onlineOther Libraries in Japan
  • Summary, etc.We call the realized variance (RV) calculated with oberved ...
  • Subject HeadingRealized Variance Integrated Variance Microstru...

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Digital文書・図像類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-04
Available onlineOther Libraries in Japan
  • Summary, etc.We call the realized variance (RV) calculated with observed...
  • Subject HeadingRealized Variance Integrated Variance Microstru...

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
Digital文書・図像類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Summary, etc....lity via naive realized variance (RV). In order to perform a m...
  • Subject Heading...ts variance of realized variance

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