Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Yoko, Tanokura"'
Publikováno v:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2018:142-146
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cae2faa221cebc52d370031b295130f5
https://doi.org/10.5687/sss.2018.142
https://doi.org/10.5687/sss.2018.142
Publikováno v:
Asia-Pacific Financial Markets. 23:229-262
In this paper, using the measures of the credit risk price spread (CRiPS) and the standardized credit risk price spread (S-CRiPS) proposed in Kariya’s (A CB (corporate bond) pricing model for deriving default probabilities and recovery rates. Eaton
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34d0e441e5112b8dd05bd2df7e8baefa
https://doi.org/10.1007/s10690-016-9217-7
https://doi.org/10.1007/s10690-016-9217-7
Publikováno v:
Asia-Pacific Financial Markets. 22:397-427
In this paper, we make a comprehensive credit risk analysis on government bonds (GBs) of Germany, France, Italy, Spain and Greece over the period 2007.4–2012.3, where interest rate (IR) differential, GB price differential, default probability (DP)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da4a0825cf140fb3c22be7b55af9dce4
https://doi.org/10.1007/s10690-015-9202-6
https://doi.org/10.1007/s10690-015-9202-6
Autor:
Yoko Tanokura, Genshiro Kitagawa
This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of p
Publikováno v:
同志社大学理工学研究報告 = The Science and Engineering Review of Doshisha University. 50(1):46-53
本論文では、新しいダイナミック・インプライド・コピュラ・モデルを提案し、iTraxx EUR データの分析に基づいて我々の新しいモデルの有効性を報告する。CDO (Collateralized Debt Obligation) 価
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=jairo_______::07470c5f510a4147ac4f91cb35c39cd9
http://id.nii.ac.jp/1707/00020536/
http://id.nii.ac.jp/1707/00020536/
Autor:
Genshiro Kitagawa, Yoko Tanokura
Publikováno v:
Indexation and Causation of Financial Markets ISBN: 9784431552758
Nonstationary financial time series often observed in the real world, include a time series with a slowly shifting mean value function, a time series with time-varying variations around the mean value, and a time series with both a moving mean value
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9fc9d7ec66515929a1df5d60f7c7ac6
https://doi.org/10.1007/978-4-431-55276-5_2
https://doi.org/10.1007/978-4-431-55276-5_2
Autor:
Yoko Tanokura, Genshiro Kitagawa
Publikováno v:
Indexation and Causation of Financial Markets ISBN: 9784431552758
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2fc247713394ec25bc32a3b2df969519
https://doi.org/10.1007/978-4-431-55276-5_1
https://doi.org/10.1007/978-4-431-55276-5_1
Autor:
Yoko Tanokura, Genshiro Kitagawa
Publikováno v:
Indexation and Causation of Financial Markets ISBN: 9784431552758
A method for constructing a distribution-free index is applied to financial and economic time series data and causations are analyzed based on power contributions . Highlighting the current sequential financial crises, the applications focus primaril
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c84ef70c6ed61dbca43e64c3bbd87e3b
https://doi.org/10.1007/978-4-431-55276-5_4
https://doi.org/10.1007/978-4-431-55276-5_4
Autor:
Genshiro Kitagawa, Yoko Tanokura
Publikováno v:
Indexation and Causation of Financial Markets ISBN: 9784431552758
The globalization of financial and economic systems has brought attention to the significant ramifications of price fluctuations in both domestic and international financial markets, which may cause inextricable difficulties such as the global econom
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f82ed27c4c5d76e5fea8cfe79e6c2481
https://doi.org/10.1007/978-4-431-55276-5_3
https://doi.org/10.1007/978-4-431-55276-5_3