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検索結果 13 件

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

Central Bank Information Effects in Japan : The Role of Uncertainty Channel
デジタル文書・図像類
Matsumoto, Ryo, Morita, Hiroshi, Ono, TaikiHitotsubashi Institute for Advanced Study, Hitotsubashi University2022-11
インターネットで読める全国の図書館
  • 件名Monetary policy Information effect High-frequency data VAR model

High-frequency realized stochastic volatility model

High-frequency realized stochastic volatility model
デジタル文書・図像類
Watanabe, Toshiaki, Nakajima, JouchiHitotsubashi Institute for Advanced Study, Hitotsubashi University2023-01
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  • 件名Bayesian analysis High-frequency data Markov chain Monte Carlo Real...

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
デジタル文書・図像類
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
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  • 要約等...valuated using high-frequency data, the lack of observations can...
  • 件名Collaborative 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
紙文書・図像類
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
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  • 件名...ed stock index high-frequency data intraday periodicity long mem...

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
紙文書・図像類
Kunitomo, Naoto, Misaki, Hiroumi日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-893
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  • 件名...ng Coefficient High-Frequency Data Separating Information Maximu...

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
紙文書・図像類
Misaki, Hiroumi, Kunitomo, Naoto日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-892
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  • 件名...o-Market Noise 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
紙文書・図像類
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
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  • 件名...llover effects high-frequency data intraday periodicity CCF appr...
  • 一般注記... 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
デジタル文書・図像類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
インターネットで読める全国の図書館
  • 件名high-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
紙文書・図像類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-733
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  • 件名...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
紙文書・図像類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-08Discussion paper series. CIRJE-FCIRJE-F-581
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  • 件名...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
紙文書・図像類
Sato, Seisho, Kunitomo, Naoto日本経済国際共同センター2011-06Discussion paper series. CIRJE-FCIRJE-F-803
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  • 件名...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
紙文書・図像類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-08Discussion paper series. CIRJE-FCIRJE-F-758
全国の図書館
  • 件名...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
紙文書・図像類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-11Discussion paper series. CIRJE-FCIRJE-F-601
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  • 件名...o-Market Noise High-Frequency Data Separating Information Maximu...

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