Discussion Papers
Discussion Paper #2008-1
Smoothed Versions of Statistical Functionals from a Finite Population This version: 10/10/2008
Hitoshi Motoyama and Hajime Takahashi
Note: This paper has been subsequently published in Journal of the Japan Statistical Society, December 2008, Vol. 38, No.3, pp.475-504.
Discussion Paper #2008-2
Bayesian Estimation of Unknown Regression Error Heteroscedasticity This version: 3/11/2009
Hiroaki Chigira and Tsunemasa Shiba
Discussion Paper #2009-1
信用リスク計測に関する一考察
-Implied Dataにもとづく統計的推論と格付けごとの倒産確率の推定と推定誤差の計測方法- This version: 9/30/2009
高橋 一
Discussion Paper #2009-2
On a Statistical Analysis of Implied Data This version: 2/5/2010
Hajime Takahashi
Note: This paper has been subsequently published in Asia-Pacific Financial Markets.
Discussion Paper #2010-1
株価指数及びREIT指数ヘッジへのマルコフ・レジーム・スイッチングモデルを用いたアプローチ This version: 1/19/2011
山口 聡
Discussion Paper #2011-1
Estimating Default Probabilities Using Corporate Bond Price Data This version: 3/13/2012
Reiko Tobe
Discussion Paper #2013-1
Matrix Exponential Stochastic Volatility with Cross Leverage This version: 10/14/2013
Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
Discussion Paper #2014-1
一般化したRealized Stochastic Volatility モデルの推定：
Nikkei225 収益率・実現ボラティリティの暦効果へ応用（増補版） This version: 10/21/2014
石原 庸博
Discussion Paper #2015-1
DIRICHLET PRIOR FOR ESTIMATING UNKNOWN REGRESSION ERROR HETEROSKEDASTICITY This version: 12/2015
Hiroaki Chigira and Tsunemasa Shiba
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