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Miyakoshi, Tatsuyoshi - In: Review of Pacific Basin financial markets and policies 9 (2006) 3, pp. 359-384

Persistent link: https://www.econbiz.de/10003380365

Asymmetric international transmission in the conditional mean and volatility to the Japanese market from the US : EGARCH versus SV models

Shimada, Junji; Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi - In: The Singapore economic review : journal of the Economic … 54 (2009) 1, pp. 123-134

Persistent link: https://www.econbiz.de/10003851285

An empirical analysis of Japanese interest rate swap spread

Shimada, Junji; Takahashi, Toyoharu; Miyakoshi, Tatsuyoshi - In: Recent advances in financial engineering 2011: …, (pp. 111-131). 2012

Persistent link: https://www.econbiz.de/10009573458

Who is the center of local currency Asian government bond markets?

Shimada, Junji; Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi - In: Japan and the world economy : international journal of … 59 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013093409

Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the US : Egarch Versus SV Models

Miyakoshi, Tatsuyoshi - 2010

This paper investigates whether the upturns and downturns of the US market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and SV models, which simultaneously allow two kinds of...

Persistent link: https://www.econbiz.de/10013150379