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Central Bank Information Effects in Japan : The Role of Uncertainty Channel

Central Bank Information Effects in Japan : The Role of Uncertainty Channel
Digital規格・テクニカルリポート類
Matsumoto, Ryo, Morita, Hiroshi, Ono, TaikiHitotsubashi Institute for Advanced Study, Hitotsubashi University2022-11
Available onlineOther Libraries in Japan
  • Subject HeadingMonetary policy Information effect High-frequency data VAR model

High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
Digital規格・テクニカルリポート類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
Available onlineOther Libraries in Japan
  • Subject HeadingBayesian analysis High-frequency data Markov chain Monte Carlo Real...

我が国の株式市場におけるボラティリティのラフ性の検証

我が国の株式市場におけるボラティリティのラフ性の検証
Paper規格・テクニカルリポート類
鄭, 旭珠, 生方, 雅人, 大屋, 幸輔Graduate School of Economics, The University of Osaka2025-11Discussion Papers In Economics And Business25-17p.1-24
Other Libraries in Japan
  • Subject Heading高頻度データ ボラティリティ ラフ性 C14 C55 C58 High-frequency data Volatility Roughness
  • Note (General)...lysis utilizes high-frequency data from the Nikkei 225 index as ...

On the Evaluation of Intraday Market Quality in the Limit-Order Book Markets : A Collaborative Filtering Approach

On the Evaluation of Intraday Market Quality in the Limit-Order Book Markets : A Collaborative Filtering Approach
Digital図書
Hayashi, Takaki, Takahashi, Makoto法政大学イノベーション・マネジメント研究センター2021-06-08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239p.1-32
Other Libraries in Japan
  • Summary, etc....valuated using high-frequency data, the lack of observations can...
  • Subject HeadingCollaborative filtering high-frequency data latent factor models limit-or...

Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market

Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
Paper規格・テクニカルリポート類
Nishimura, Yusaku, Tsutsui, Yoshiro, Hirayama, KenjiroGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2014-01Discussion Papers In Economics And Business14-01p.1-36
Other Libraries in Japan
  • Subject Heading...ed stock index high-frequency data intraday periodicity long mem...

On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling

On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling
Paper規格・テクニカルリポート類
Misaki, Hiroumi, Kunitomo, Naoto日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-892
Other Libraries in Japan
  • Summary, etc....d the observed high-frequency data are sampled randomly with the...
  • Subject Heading...o-Market Noise High-Frequency Data Separating Information Maximu...

The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling

The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling
Paper規格・テクニカルリポート類
Kunitomo, Naoto, Misaki, Hiroumi日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-893
Other Libraries in Japan
  • Subject Heading...ng Coefficient High-Frequency Data Separating Information Maximu...

Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data

Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
Paper規格・テクニカルリポート類
Nishimura, Yusaku, Tsutsui, Yoshiro, Hirayama, KenjiroGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2012-02Discussion Papers In Economics And Business12-01
Other Libraries in Japan
  • Subject Heading...llover effects high-frequency data intraday periodicity CCF appr...
  • Note (General)... using intradayhigh-frequency data. We first adjusted the 5-min....

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規格・テクニカルリポート類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Subject Headinghigh-frequency data market microstructure noise r...

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise
Paper規格・テクニカルリポート類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-733
Other Libraries in Japan
  • Subject Heading...o-Market Noise High-Frequency Data Separating Information Maximu...

Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
Paper規格・テクニカルリポート類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-08Discussion paper series. CIRJE-FCIRJE-F-581
Other Libraries in Japan
  • Subject Heading...o-Market Noise High-Frequency Data Separating Information Maximu...

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors
Paper規格・テクニカルリポート類
Sato, Seisho, Kunitomo, Naoto日本経済国際共同センター2011-06Discussion paper series. CIRJE-FCIRJE-F-803
Other Libraries in Japan
  • Subject Heading...o-Market Noise High-Frequency Data Separating Information Maximu...

On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
Paper規格・テクニカルリポート類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-08Discussion paper series. CIRJE-FCIRJE-F-758
Other Libraries in Japan
  • Subject Heading...o-Market Noise High-Frequency Data Separating Information Maximu...

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規格・テクニカルリポート類
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...o-Market Noise High-Frequency Data Separating Information Maximu...

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