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A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds
http://hdl.handle.net/10069/36650
http://hdl.handle.net/10069/36650651999fc-5f91-46d1-b3cf-0ade82ce66a2
名前 / ファイル | ライセンス | アクション |
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keinen32_57.pdf (420.3 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2016-07-11 | |||||
タイトル | ||||||
タイトル | A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Fixed-coupon bond pricing model | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Japanese government bonds | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Generalized least squares | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
Kamizono, Kenji
× Kamizono, Kenji× Kariya, Takeaki× Yamamura, Yoshiro |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, we generalize the cross-sectional fixed-coupon bond pricing model of Kariya et. al.(2012) to a dynamic one. The bond prices are modeled as the present values of the future cash-flows where the discount functions are stochastic and may depend on the bond attributes. In our framework, the cross-sectional and time-series covariance structure among the stochastic discount functions depends on the difference of the time-to-maturity of the bonds. We also propose a bond price forecast method using our model. The empirical result and the forecast performance on the Japanese government bonds are presented. | |||||
書誌情報 |
長崎大学経済学部研究年報 en : Annual review of economics 巻 32, p. 57-69, 発行日 2016-06-30 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 09108602 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN10030515 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
出版者 | ||||||
出版者 | 長崎大学経済学部 | |||||
出版者別言語 | ||||||
Faculty of Economics, Nagasaki University | ||||||
sortkey | ||||||
3 | ||||||
引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 長崎大学経済学部研究年報, 32, pp.57-69; 2016 |