Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Hisashi Tanizaki"'
Autor:
Donglian Ma, Hisashi Tanizaki
Publikováno v:
Financial Innovation, Vol 8, Iss 1, Pp 1-25 (2022)
Abstract In this study, an investigation is conducted into the phenomenon of price clustering in Bitcoin (BTC) denominated in the Japanese yen (JPY). It answers two questions using tick-by-tick data. The first is whether price clustering exists in BT
Externí odkaz:
https://doaj.org/article/986fbce0eef046f1abf1d8d3dd7d2cdb
Autor:
Hisashi Tanizaki, Donglian Ma
Publikováno v:
Research in International Business and Finance. 49:127-136
This study investigates the day-of-the-week effect on both return and volatility of Bitcoin (BTC) from January 2013 to December 2018 using daily data obtained from CoinDesk Bitcoin Price Index. Estimation results suggest that the day-of-the-week effe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03e159827118870dc2085ec43b14221c
https://doi.org/10.1016/j.ribaf.2019.02.003
https://doi.org/10.1016/j.ribaf.2019.02.003
Autor:
Hisashi Tanizaki, Donglian Ma
Publikováno v:
China Finance Review International. 9:455-478
Purpose The purpose of this paper is to examine the day-of-the-week effects of Bitcoin (BTC) markets on the exchange level from January 2014 to September 2018. Design/methodology/approach The in-depth study on the day-of-the-week effects is conducted
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::563fdb08202af90eceb5bc173734683e
https://doi.org/10.1108/cfri-12-2018-0158
https://doi.org/10.1108/cfri-12-2018-0158
Autor:
Hisashi Tanizaki, Donglian Ma
Publikováno v:
China Finance Review International. 11:170-184
PurposeThe purpose of this paper is to investigate how the selection of return distribution impacts estimated volatility in China’s stock market.Design/methodology/approachThe authors use a Bayesian analysis of fat-tailed stochastic volatility (SV)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1798c03d05ac087f0b65e9ab60753f5e
https://doi.org/10.1108/cfri-03-2018-0028
https://doi.org/10.1108/cfri-03-2018-0028
Autor:
Sueo Sugimoto, Masaya Murata, Katsumi Ohnishi, Genshiro Kitagawa, Hisashi Tanizaki, Katsuji Uosaki, Kazufumi Ito, Kiyotugu Takaba, Masaaki Murata, Masaki Yamakita, Sarah A. King, Shinji Ishihara, Tohru Katayama, Yukihiro Kubo
This book covers a broad range of filter theories, algorithms, and numerical examples. The representative linear and nonlinear filters such as the Kalman filter, the steady-state Kalman filter, the H infinity filter, the extended Kalman filter, the G
Autor:
Kenichi Mizobuchi, Hisashi Tanizaki
Publikováno v:
Empirical Economics. 47:1221-1250
This paper applies a bootstrap method to the Almost Ideal Demand System (AIDS) proposed by Deaton and Muellbauer (Am Econ Rev 70:312–326, 1980), where the moving blocks bootstrap (MBB) and pairs bootstrap (PB) methods are adopted taking into accoun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11a822cbac93519473e29e7158fce15d
https://doi.org/10.1007/s00181-013-0782-6
https://doi.org/10.1007/s00181-013-0782-6
Autor:
Hisashi, Tanizaki
Publikováno v:
経済学論究. 66(1):29-46
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=jairo_______::bb7b156f3559c1d62064ce2d48cfc1df
http://hdl.handle.net/10236/10770
http://hdl.handle.net/10236/10770
Autor:
Hisashi Tanizaki, Shigeyuki Hamori
Publikováno v:
Empirical Economics. 36(1):27-54
In the past, there are a lot of studies which conclude that the holiday, asymmetry and day-of-the-week effects influence stock price volatility. Most of the studies are based on a class of generalized auto-regressive conditional heteroskedasticity (G
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e479fad08c37f4b16ea59c029e31c3dd
https://hdl.handle.net/20.500.14094/90000683
https://hdl.handle.net/20.500.14094/90000683
Autor:
Roberto S. Mariano, Hisashi Tanizaki
Publikováno v:
Journal of Forecasting. 14(4):351-380
In the case of US national accounts the data are revised for the first few years and every decade, which implies that we do not really have the final data. In this paper we aim to predict the final data, using the preliminary data and/or the revised
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5bb86e94f4498b7c047760d517f860f7
http://www.lib.kobe-u.ac.jp/handle_kernel/90000576
http://www.lib.kobe-u.ac.jp/handle_kernel/90000576