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統計的手法を用いた株価のクラスタリング―ファットテール性を有する株価収益率の相関構造の分析・知識形成

統計的手法を用いた株価のクラスタリング―ファットテール性を有する株価収益率の相関構造の分析・知識形成
Digital博士論文障害者向け資料あり
磯貝, 孝2015-06
National Diet Library
  • Subject Headingstock return correlation fat tail volatili...

Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach

Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach
Digital文書・図像類
Morita, HiroshiHitotsubashi Institute for Advanced Study, Hitotsubashi University2022-03
Available onlineOther Libraries in Japan
  • Subject HeadingForecasting MIDAS regression factor model stock returns

Implied Equity Duration : Lessons from the Japanese Financial Crises

Implied Equity Duration : Lessons from the Japanese Financial Crises
Paper文書・図像類
Fukuta, Yuichi, Yamane, AkikoGraduate School of Economics, Osaka University2024-07Discussion Papers In Economics And Business24-08p.1-26
Other Libraries in Japan
  • Subject Headingequity duration cross-section of stock returns market uncertainty financial...
  • Note (General)...cash flows and stock returns and offers va......oss-section of stock returns.

Forecasting Public Investment Using Daily Stock Returns

Forecasting Public Investment Using Daily Stock Returns
Digital文書・図像類
森田, 裕史Hitotsubashi Institute for Advanced Study, Hitotsubashi University2019-08
Available onlineOther Libraries in Japan
  • Summary, etc....e daily excess stock returns of the constr......ment and daily stock returns without any prior time aggre...
  • Subject HeadingMIDAS regression fiscal foresight stock returns local projection method

The Public Investment Multipliers: Evidence from Stock Returns of Narrowly Defined Industry in Japan

The Public Investment Multipliers: Evidence from Stock Returns of Narrowly Defined Industry in Japan
Digital文書・図像類
金澤, 伸幸Hitotsubashi Institute for Advanced Study, Hitotsubashi University2018-03
Available onlineOther Libraries in Japan
  • Subject HeadingFiscal multiplier Stock returns Public Investment Infrastruc...

統計的手法を用いた株価のクラスタリング―ファットテール性を有する株価収益率の相関構造の分析・知識形成

統計的手法を用いた株価のクラスタリング―ファットテール性を有する株価収益率の相関構造の分析・知識形成
Digital博士論文
磯貝, 孝2015-06
Available onlineOther Libraries in Japan
  • Subject Headingstock return correlation fat tail volatili...

Beauty Contests and Fat Tails in Financial Markets

Beauty Contests and Fat Tails in Financial Markets
Digital文書・図像類
Nirei, Makoto, Watanabe, TsutomuUTokyo Price Project2014-06JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series042
Other Libraries in Japan
  • Subject HeadingHerd behavior transaction volume stock return fat tail power law JEL classi...

Beauty Contests and Fat Tails in Financial Markets

Beauty Contests and Fat Tails in Financial Markets
Digital文書・図像類
楡井, 誠Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2011-08
Available onlineOther Libraries in Japan
  • Summary, etc....ade volume and stock returns emerge in a simultaneous-mov...
  • Subject HeadingHerd behavior trade volume stock return fat tail power law

Estimation and Inference in Predictive Regressions

Estimation and Inference in Predictive Regressions
Digital文書・図像類
Kurozumi, Eiji, Aono, KoheiInstitute of Economic Research, Hitotsubashi University2011-05
Available onlineOther Libraries in Japan
  • Summary, etc....vestigate U.S. stock returns and find that......ble to predict stock returns. Because of t......ations between stock returns and economic variables.
  • Subject HeadingUnit root near unit root bias median unbiased stock return

On the Predictability of Japanese Stock Returns using Dividend Yield

On the Predictability of Japanese Stock Returns using Dividend Yield
Digital文書・図像類
青野, 幸平, 祝迫, 得夫Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2009-08-18
Available onlineOther Libraries in Japan
  • Summary, etc....edict Japanese stock returns. Our empirica......casting future stock returns. More specifi......icting monthly stock returns in the sample......nd when lagged stock returns are included simultaneously.
  • Subject Headingdividend yield stock returns structural break test

Forecasting Japanese Stock Returns with Financial Ratios and Other Variables

Forecasting Japanese Stock Returns with Financial Ratios and Other Variables
Digital文書・図像類
Aono, Kohei, 祝迫, 得夫Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2010-10
Available onlineOther Libraries in Japan
  • Summary, etc....in forecasting stock returns in Japan is g......cluding lagged stock returns and interest ......ting aggregate stock returns when using Ja......ratios, lagged stock returns, and interest rates yield th...
  • Subject Headingforecastability of stock returns price-earnings ratio price d...

Short-sellers and analysts as providers of complementary information about future firm performance

Short-sellers and analysts as providers of complementary information about future firm performance
Paper図書
by Michael Stephen DrakeUMIc2009
Other Libraries in Japan
  • Subject HeadingMajor Accounting Analysts Stock returns Short-sellers Earnings forec...
  • Subject Heading (ID)Major Accounting Analysts Stock returns Short-sellers Earnings forec...

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
Digital文書・図像類
中島, 上智, 大森, 裕浩Institute of Economic Research, Hitotsubashi University2010-03
Available onlineOther Libraries in Japan
  • Summary, etc....PIX and S&P500 stock returns. The model comparison for stock returns is conducted ......s found in the stock returns. Further, the prior sensitiv...
  • Subject HeadingMarkov chain Monte Carlo Mixing distribution State space model Stochastic volatility Stock returns

Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form

Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
Paper文書・図像類
Nakajima, Jouchi, Kunihama, Tsuyoshi, Omori, Yasuhiro, Frühwirth-Schnatter, Sylvia日本経済国際共同センター2011-01Discussion paper series. CIRJE-FCIRJE-F-782
Other Libraries in Japan
  • Subject Heading...te space model Stock returns

Efficient Estimation and Particle Filter for Max-Stable Processes

Efficient Estimation and Particle Filter for Max-Stable Processes
Paper文書・図像類
Kunihama, Tsuyoshi, Omori, Yasuhiro, Zhang, Zhengjun日本経済国際共同センター2011-03Discussion paper series. CIRJE-FCIRJE-F-791
Other Libraries in Japan
  • Subject Heading...xima processes Stock returns

Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Bayesian Estimation of Unknown Regression Error Heteroscedasticity
PaperDigital文書・図像類
千木良, 弘朗, 斯波, 恒正Institute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Subject HeadingEicker-White HCCM orthogonal regressors informative prior pdf's MCMC stock return variance

Bayesian Estimation and Particle Filter for Max-Stable Processes

Bayesian Estimation and Particle Filter for Max-Stable Processes
Paper文書・図像類
Kunihama, Tsuyoshi, Omori, Yasuhiro, Zhang, Zhengjun日本経済国際共同センター2010-08Discussion paper series. CIRJE-FCIRJE-F-757
Other Libraries in Japan
  • Subject Heading...xima processes Stock returns

The Consumption-Wealth Ratio and the Japanese Stock Market

The Consumption-Wealth Ratio and the Japanese Stock Market
Digital文書・図像類
青野, 幸平, 祝迫, 得夫Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2007-03-26
Available onlineOther Libraries in Japan
  • Summary, etc....uture Japanese stock returns. On the other......on of Japanese stock returns of industry p......nge in average stock returns. We also propose to improve ...
  • Subject HeadingConsumption-wealth ratio Cointegration Cross-section of stock returns

Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Bayesian Estimation of Unknown Regression Error Heteroscedasticity
Digital文書・図像類
千木良, 弘朗, 斯波, 恒正Institute of Economic Research, Hitotsubashi University2008-02
Available onlineOther Libraries in Japan
  • Subject HeadingEicker-White HCCM orthogonal regressors informative prior pdf's MCMC stock return variance

Bayesian Estimation of Unknown Regression Error Heteroscedasticity

Bayesian Estimation of Unknown Regression Error Heteroscedasticity
Paper文書・図像類
千木良, 弘朗, 斯波, 恒正Institute of Economic Research, Hitotsubashi University2007-11
Other Libraries in Japan
  • Subject HeadingEicker-White HCCM orthogonal regressors informative prior pdf's MCMC stock return variance
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