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Root causes of the housing bubble
Kaizoji, Taisei - In: Econophysics approaches to large-scale business data …, (pp. 173-182). 2010
Persistent link: https://www.econbiz.de/10008701526
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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to...
Persistent link: https://www.econbiz.de/10011524072
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Multiple equilibria and chaos in a discrete tâtonnement process
Kaizoji, Taisei - In: Journal of economic behavior & organization : JEBO 76 (2010) 3, pp. 597-599
Persistent link: https://www.econbiz.de/10008933254
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Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Kaizoji, Taisei - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 237-248). 2005
Persistent link: https://www.econbiz.de/10002775656
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Speculative bubbles and fat-tail phenomena in a heterogeneous agent model
Kaizoji, Taisei - In: Economic complexity : non-linear dynamics, multi-agents …, (pp. 259-275). 2004
Persistent link: https://www.econbiz.de/10001984940
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A mechanism of international transmission of financial crises
Kaizoji, Taisei - In: Empirical science of financial fluctuations : the …, (pp. [90]-101). 2002
Persistent link: https://www.econbiz.de/10001679240
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...
Persistent link: https://www.econbiz.de/10010295136
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Stock volatility in the periods of booms and stagnations
Kaizoji, Taisei - 2010
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to...
Persistent link: https://www.econbiz.de/10011496110
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Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - In: Journal of economic dynamics & control 31 (2007) 6, pp. 1808-1843
Persistent link: https://www.econbiz.de/10003487855