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The paper compares various processes subordinated to the Wiener process to model the leptokurtic characteristics of index returns. Empirical analysis is performed on the Dow Jones and Nikkei 225 indexes. A good model to capture the typical tail behaviour of these indexes turns out to be a long...
Seven different Japanese Yen interest rates recorded on a daily basis for the period from 1986 to 1992 are simultaneously analyzed. By introducing a new concept of ‘short term trend’, we decompose each interest rate series into three components, ‘long termtrend’, ‘short term trend’ and...
This paper investigates the feedback relationship between stock market returns and economic fundamentals in an emerging market. Starting from an intertemporal consumption-based CAPM (CCAPM), we obtain a restricted VAR model for stock returns and macroeconomic variables. We then apply this model...
This paper documents significant 5-day, 10-day and 20-day cumulative abnormal returns following large one-day advances/declines in some Asian emerging stock markets, such as Hong Kong, Taiwan, Singapore, Thailand, Australia and Philippines. Stock prices tend to rise after large one-day advances...
We will show that the constrained least square problem proposed in Konno and Takase  for estimating the forward rate sequence by using the market prices of default-free non-callable coupon bonds is in fact a convex minimization problem under more general conditions than those assumed in the...
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