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検索結果 6 件

A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

A Dynamic Equilibrium Model for U-Shaped Pricing Kernels
デジタル規格・テクニカルリポート類
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
全国の図書館
  • 要約等..., and negative realized variance risk premiums. In particular,...
  • 件名...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
デジタル規格・テクニカルリポート類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2011-12
インターネットで読める全国の図書館
  • 要約等...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...
  • 件名variance 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
デジタル規格・テクニカルリポート類
ナガクラ, ダイスケ, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-08
インターネットで読める全国の図書館
  • 要約等We call the realized variance (RV), calculated with observe...
  • 件名Realized 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
デジタル規格・テクニカルリポート類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2010-02
インターネットで読める全国の図書館
  • 要約等We call the realized variance (RV) calculated with oberved ...
  • 件名Realized 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
デジタル規格・テクニカルリポート類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-04
インターネットで読める全国の図書館
  • 要約等We call the realized variance (RV) calculated with observed...
  • 件名Realized 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
デジタル規格・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
インターネットで読める全国の図書館
  • 要約等...lity via naive realized variance (RV). In order to perform a m...
  • 件名...ts variance of realized variance

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