Essays in nonstationary financial time series ファイナンスにおける非定常時系列に関する研究

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Author

    • 浅井, 学 アサイ, マナブ

Bibliographic Information

Title

Essays in nonstationary financial time series

Other Title

ファイナンスにおける非定常時系列に関する研究

Author

浅井, 学

Author(Another name)

アサイ, マナブ

University

筑波大学

Types of degree

博士 (社会経済)

Grant ID

甲第1975号

Degree year

1998-11-30

Note and Description

博士論文

The main purposes of this dissertation are; (1) to carry out empirical investigations of nonstationary financial time series based on available econometric techniques, and then ...

1988

Table of Contents

  1. Contents / p5 (0007.jp2)
  2. Abstract / p1 (0003.jp2)
  3. Acknowledgments / p3 (0005.jp2)
  4. List of Abbreviations / p8 (0010.jp2)
  5. Introduction / p1 (0013.jp2)
  6. Footnotes / p6 (0018.jp2)
  7. Chapter1 Relationship between the Stock Market and the Macroeconomy:VAR Investigation / p7 (0019.jp2)
  8. 1.1 Introduction / p7 (0019.jp2)
  9. 1.2 Econometric Methodology / p11 (0023.jp2)
  10. 1.3 The Data / p16 (0028.jp2)
  11. 1.4 VAR Results / p23 (0035.jp2)
  12. 1.5 Concluding Remarks / p33 (0045.jp2)
  13. Footnotes / p33 (0045.jp2)
  14. Chapter2 Comparing Predictive Performances of Several Models of Interest Futures / p36 (0048.jp2)
  15. 2.1 Introduction / p36 (0048.jp2)
  16. 2.2 Models and Implementation Issues / p37 (0049.jp2)
  17. 2.3 Data and Estimation Results / p44 (0056.jp2)
  18. 2.4 Forecasting Performance / p56 (0068.jp2)
  19. 2.5 Concluding Remarks / p60 (0072.jp2)
  20. Footnotes / p61 (0073.jp2)
  21. Chapter3 A New Method to Estimate Stochastic Volatility Models:A Log-GARCH Approach / p62 (0074.jp2)
  22. 3.1 Introduction / p62 (0074.jp2)
  23. 3.2 Stochastic Volatility Processes / p65 (0077.jp2)
  24. 3.3 Econometric Methodology / p70 (0082.jp2)
  25. 3.4 Test for Integration in Log-Volatility / p76 (0088.jp2)
  26. 3.5 Empirical Example:Daily Exchange Rates / p77 (0089.jp2)
  27. 3.6 Concluding Remarks / p81 (0093.jp2)
  28. 3.A εt and its Moments / p83 (0095.jp2)
  29. 3.B [数式] and its Moments / p83 (0095.jp2)
  30. 3.C Approximate Kalman Filtering and QML Estimation / p85 (0097.jp2)
  31. 3.D GMM Estimation / p87 (0099.jp2)
  32. 3.E Simulated Maximum Likelihood Methods / p89 (0101.jp2)
  33. 3.F Nonlinear Filtering Maximum Likelihood Estimation / p92 (0104.jp2)
  34. 3.G Bayesian Markov chain Monte Carlo / p95 (0107.jp2)
  35. Footnotes / p110 (0122.jp2)
  36. References / p112 (0124.jp2)
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Codes

  • NII Article ID (NAID)
    500000185481
  • NII Author ID (NRID)
    • 8000000185763
  • DOI(NDL)
  • Text Lang
    • jpn
  • NDLBibID
    • 000000349795
  • Source
    • Institutional Repository
    • NDL ONLINE
    • NDL Digital Collections

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