A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an ecient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent...

A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an ecient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables...

　　 We formulate strategic aspects of speculative arbitrageurs in a stock market as a generalization of timing game with behavioral types explored by Matsushima (2013b). A company raises huge funds during the bubble driven by positive feedback traders' euphoria by issuing shares in...

The paper concerns small-area estimation in the heteroscedastic nested error regression (HNER) model which assumes that the within-area variances are different among areas. Although HNER is useful for analyzing data where the within-area variation changes from area to area, it is difficult to...

　　 This paper develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic expansion to compute a target expectation...

This paper is concerned with the prediction of the conditional mean which involves the fixed and random effects based on the natural exponential family with a quadratic variance function. The best predictor is interpreted as the Bayes estimator in the Bayesian context, and the empirical Bayes...

A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

　　 This study analyzes incentives and supplier-induced demand of care man- agers, middlemen between consumers and service providers in the Japanese social insurance program for long-term care. Care managers can be considered as pure gatekeepers in that their function is limited to...

A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix...

The problem of estimating a covariance matrix in multivariate linear regression models is addressed in a decision-theoretic framework. Although a standard loss function is the Stein loss, it is not available in the case of a high dimension. In this paper, a new type of a quadratic loss function,...