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検索結果 55 件

金利プロセスと期間構造の特異性のモデル化と統計的検証

金利プロセスと期間構造の特異性のモデル化と統計的検証
紙図書
倉澤資成, 横浜国立大学 [著][倉澤資成]2005-2007<Y151-H17530239>
国立国会図書館
  • 件名カルマンフィルター / ジャンプ / Stochastic Volatility / EGARCH

Essays on Business Cycles and Monetary Policy

Essays on Business Cycles and Monetary Policy
デジタル博士論文障害者向け資料あり
Le, Vu Hai2022-09-26
インターネットで読める国立国会図書館全国の図書館
  • 件名...onetary Policy Stochastic Volatility GARCH

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility
デジタル文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2023-10Discussion Paper, Series ENo. E-28p.1-28
全国の図書館
  • 件名...t problem CAPM Stochastic volatility Stochastic inflation

Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk

Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk
デジタル文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-04Discussion Paper, Series ENo. E-35p.1-41
全国の図書館
  • 件名...t problem CAPM Stochastic volatility Stochastic inflation

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models
紙文書・図像類
Poignard, Benjamin, Asai, ManabuGraduate School of Economics, Osaka University2020-01Discussion Papers In Economics And Business20-02p.1-46
全国の図書館
  • 件名Forecasting Multivariate Stochastic Volatility Oracle Property Penalised M-e...
  • 一般注記Although multivariate stochastic volatility (MSV) models usually produce ...

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
インターネットで読める全国の図書館
  • 要約等A new high-frequency realized stochastic volatility model is propo......aily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit t......high-frequency stochastic volatility model by consi......uency realized stochastic volatility model improves in-sample mode...
  • 件名...zed volatility Stochastic volatility model Volatility forecasting

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand
デジタル文書・図像類
Kikuchi, Kentaro, Kusuda, KoujiThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-02Discussion Paper, Series ENo. E-21p.1-31
全国の図書館
  • 件名...deflation risk Stochastic volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
デジタル文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, YasuhiroHitotsubashi Institute for Advanced Study, Hitotsubashi University2021-01
インターネットで読める全国の図書館
  • 要約等...els such as thestochastic volatility (SV) and exponential GARCH (E...
  • 件名...zed volatility Stochastic volatility Volatility forecasting

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR

Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR
デジタル文書・図像類
Kim, Dukpa, Yamamoto, YoheiInstitute of Economic Research, Hitotsubashi University2013-02
インターネットで読める全国の図書館
  • 要約等...h multivariate stochastic volatility. Our model has a smaller numb...
  • 件名Time Varying Monetary Policy Rule In㌢tion Persistence Multivariate Stochastic Volatility

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
インターネットで読める全国の図書館
  • 要約等...factor Wishart stochastic volatility (AMWSV) diffusion process whi...
  • 件名Multivariate Stochastic Volatility Wishart Process Leverage Effe...

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
紙文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-07Discussion paper series. CIRJE-FCIRJE-F-897
全国の図書館
  • 件名...oock functions Stochastic volatility model Option price Greeks

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
紙文書・図像類
Kato, Takashi, Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-01Discussion paper series. CIRJE-FCIRJE-F-873
全国の図書館
  • 件名Barrier Option Up-and-Out Call Option Asymptotic Expansion Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model

A Fractionally Integrated Wishart Stochastic Volatility Model
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-02KIER Discussion Paper848
インターネットで読める全国の図書館
  • 要約等...e multivariate stochastic volatility models. We pro......grated Wishart stochastic volatility (FIWSV) process. We derive th...
  • 件名...s Multivariate stochastic volatility Long memory Fractional Browni...

The Great Moderation in the Japanese Economy

The Great Moderation in the Japanese Economy
デジタル文書・図像類
Ko, Jun-Hyung, Murase, KoichiResearch Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2012-05
インターネットで読める全国の図書館
  • 件名... parameter VAR Stochastic volatility Technology shocks

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
紙文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2013-11Discussion paper series. CIRJE-FCIRJE-F-907
全国の図書館
  • 件名...r multivariate stochastic volatility

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
紙文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
全国の図書館
  • 件名...r Multivariate stochastic volatility

Parametric Inference and Dynamic State Recovery from Option Panels

Parametric Inference and Dynamic State Recovery from Option Panels
デジタル文書・図像類
Andersen, Torben G., Fusari, Nicola, Todorov, ViktorInstitute of Economic Research, Hitotsubashi University2012-12
インターネットで読める全国の図書館
  • 要約等...ar double-jump stochastic volatility model to allow for time-varyi...
  • 件名...t State Vector Stochastic Volatility Specification Testing Stable ...

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
デジタル文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper739
インターネットで読める全国の図書館
  • 要約等The stochastic volatility model usually ......new asymmetric stochastic volatility model, based on the leverage ...
  • 件名Stochastic volatility asymmetric effects leverage t...

The Great Moderation in the Japanese Economy

The Great Moderation in the Japanese Economy
紙文書・図像類
Ko, Jun-Hyung, Murase, KoichiResearch Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University2010-07
全国の図書館
  • 件名Japanese economy Great moderation time varying coefficients stochastic volatility technology shocks

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
デジタル文書・図像類
Ishida, Isao, McAleer, Michael, Oya, KosukeInstitute of Economic Research, Kyoto University2011-02KIER Discussion Paper759
インターネットで読める全国の図書館
  • 要約等...ontinuous-time stochastic volatility (SV) models for the S&P 500 s...
  • 件名Continuous time high frequency data stochastic volatility S&P 500 implied volatility VI...