金融・資本市場分析の計量理論と日本の実証分析
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Bibliographic Information
金融・資本市場分析の計量理論と日本の実証分析
国友直人, 1994
- Title Transcription
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キンユウ シホン シジョウ ブンセキ ノ ケイリョウ リロン ト ニホン ノ ジッショウ ブンセキ
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Note
平成5年度科学研究費補助金(総合研究A)研究成果報告書
[課題番号]: 04301071
研究分担者: 山本拓[ほか]
Contents of Works
- Statistical inference in vector autoregressions with possibly integrated processes / by Hiro Y. Toda
- Long-memory and geometric brownian motion in security market models / Naoto Kunitomo
- A bayesian test of cointegration / Hiroki Tsurumi and Hajime Wago
- Asset price prediction using seasonal decomposition / Tsunemasa Shiba, Yasuhiko Takeji
- The order of the vector auto-regressive process with unit roots / by Kimio Morimune and Akihisa Mantani
- Default premiums and quality spread differentials in a stochastic interest rate economy / by Masayuki Ikeda