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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
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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
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Dynamic efficiency in the East European emerging markets
Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi; Shimada, Junji - In: Asia-Pacific financial markets 12 (2005) 2, pp. 159-179
Persistent link: https://www.econbiz.de/10003378341
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The impacts of the IMF-supported structural reform program on Asian stock market efficiency
Miyakoshi, Tatsuyoshi; Tsukuda, Yoshihiko; Shimada, Junji - In: The Singapore economic review : journal of the Economic … 57 (2012) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10009711414
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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
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The impact of quantitative easing and carry trade on the real estate market in Hong Kong
Miyakoshi, Tatsuyoshi; Li, Kui-wai; Shimada, Junji; … - In: International review of economics & finance : IREF 69 (2020), pp. 958-976
Persistent link: https://www.econbiz.de/10012487462
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Magnitudes of market inefficiency : theory and application
Miyakoshi, Tatsuyoshi; Tsukuda, Yoshihiko; Shimada, Junji - In: Japan and the world economy : international journal of … 39 (2016), pp. 23-36
Persistent link: https://www.econbiz.de/10011700637
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Bond market integration in East Asia : multivariate GARCH with dynamic conditional correlations approach
Tsukuda, Yoshihiko; Shimada, Junji; Miyakoshi, Tatsuyoshi - In: International review of economics & finance : IREF 51 (2017), pp. 193-213
Persistent link: https://www.econbiz.de/10011754150
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The dynamic contagion of the global financial crisis into Japanese markets
Miyakoshi, Tatsuyoshi; Takahashi, Toyoharu; Shimada, Junji - In: Japan and the World Economy 31 (2014) C, pp. 47-53
This paper investigates the risk contagion channel of the global financial crisis into Japan using daily data on bond risk premiums for the financial and manufacturing industries from July 18, 2006 to May 25, 2010. We employ a bivariate EGARCH model with the constant exogenous contagion impacts...
Persistent link: https://www.econbiz.de/10010906885
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Japanese Interest Rate Swap Pricing
Shimada, Junji; Takahashi, Toyoharu; Miyakoshi, Tatsuyoshi - Graduate School of Economics and Management, Tohoku … - 2010
This paper investigates the two questions on the pricing of interest rate swap in the Japanese market by applying a time varying coefficient regression model: (i) Do the risk factors which determine the spread in the US market also hold in the Japanese market? (ii) How does the degree of...
Persistent link: https://www.econbiz.de/10010699460