COE discussion paper series
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- 東京都立大学21世紀COEプログラム「金融市場のミクロ構造と制度設計」 トウキョウ トリツ ダイガク 21セイキ COE プログラム「キンユウ シジョウ ノ ミクロ コウゾウ ト セイド セッケイ」
Author(s)
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- 東京都立大学21世紀COEプログラム「金融市場のミクロ構造と制度設計」 トウキョウ トリツ ダイガク 21セイキ COE プログラム「キンユウ シジョウ ノ ミクロ コウゾウ ト セイド セッケイ」
Bibliographic Information
COE discussion paper series
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University
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"21世紀COEプログラム「金融市場のミクロ構造と制度設計」東京都立大学"--At end
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21
- Duration dependence of the business cycle in Japan : a Bayesian analysis of extended Markov switching model
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Hirokuni Uchiyama
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 32
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22
- Inventory effects of risk averse market makers on price formation in a batch trading model
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Keiichi Tanaka
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 31
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23
- 日経平均先物ティックデータを用いた"order aggressiveness"の推定
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佐々木浩二
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University [2004.7] COE discussion paper series no. 30
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24
- Dynamic asymmetric leverage in stochastic volatility models
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Manabu Asai, Michael McAleer
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 29
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25
- 中国のソフトウェア産業 : 北京におけるアンケート調査を中心に
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村上直樹
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004.6 COE discussion paper series no. 28
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26
- Secrecy improves welfare : in a case of predatory trading
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Kouji Sasaki
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 27
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27
- Has the business cycle changed in Japan? : a Bayesian analysis based on a Markov-switching model with multiple change-points
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Hirokuni Uchiyama, Toshiaki Watanabe
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University [2004] COE discussion paper series no. 26
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28
- Controlling employed traders : do we need bank supervision?
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Norvald Instefjord, Kouji Sasaki
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 25
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29
- Trading operations in limit order markets
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Norvald Instefjord, Kouji Sasaki
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 24
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30
- SVモデルを用いたオプション価格付けの実証研究
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王暁明
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004.4 COE discussion paper series no. 23
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31
- A note on implementation of neutral social choice correspondences by self-relevant mechanisms
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Yoshikatsu Tatamitani
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 22
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32
- 最適ヘッジ比率の比較
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柴田舞
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004.3 COE discussion paper series no. 9
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33
- Implementation by self-relevant mechanisms : applications in the two-agent case
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Yoshikatsu Tatamitani
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 21
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34
- Dynamic leverage and threshold effects in stochastic volatility models
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Manabu Asai, Michael McAleer
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 20
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35
- Stock return volatility and trading volume : a Bayesian impulse response analysis
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Manabu Asai, Toshiaki Watanabe
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 19
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36
- Comparison of MCMC methods for estimating GARCH models
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Manabu Asai, Toshiaki Watanabe
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 18
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37
- Trading day effects in stochastic volatility and exponential GARCH models
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Manabu Asai, Michael McAleer
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 17
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38
- A permanent and transitory component stochastic volatility model
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Toshiaki Watanabe
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 16
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39
- A Bayesian analysis of duration dependent regime switching models
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Hirokuni Uchiyama
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 15
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40
- The index of agency cost and financial accelerator : the case of Japan
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Hirokuni Uchiyama
Faculty of Economics/Graduate School of Social Sciences, Tokyo Metropolitan University 2004 COE discussion paper series no. 14
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