Bubbles and bursts of the Japanese real estate and stock markets in the last two decades were the boom and bust at the maximum scale of the late twentieth century. Why did the burst occur? In this paper we study statistical properties of ensemble of stock prices and land prices in Japan,...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is an assessment of the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should...