Kariya and Tsuda (1994) proposed the TDM (Time Dependent Markov) bond pricing model and showed that it is of great in-sample performance. In less than 0.5 yen in each month over 12 years, implying that the error rate is less than 0.5%. In addition, Kariya and Tsuda (1996) demonstrated the...

In a general normal regression model, this paper first derives the LUB(least upper bound)for the covariance matrix of a GLSE relative to the applied to the (unrestricted) Zellner estimator in the N-equation SUR model and to the GLSE in a heteroscedastic model.

In this paper, an empirical implementation of the HJM model is attempted with an application to Japanese interest futures and the self-consistency is tested. Our empirical results show tha the model we specify can be used to price contigent claims on Bond futures traded at the Tokyo...

This article proves that the stochastic process of returns decribed by S. Taylor's heteroscedastic nonlinear model converges in distribution to an iid normal process (normal white noise) as the number of the terms of temporal aggregetion increases.