@article{oai:nagasaki-u.repo.nii.ac.jp:00003701,
 author = {神薗, 健次},
 issue = {1-2},
 journal = {経営と経済, Journal of Business and Economics},
 month = {Sep},
 note = {In this paper, we consider a short-term interest rate futures model. We estimate and forecast our model by using the daily data of the 3-month Eurodollar futures traded at the Chicago Mercantile Exchange（CME）．Our statistical approach is based on a similar idea of that of Kariya et al．（1997）rather than that of the arbitrage pricing theory such as Heath-Jarrow-Morton（HJM）．The aim of this paper is thus to construct an empirical model which is consistent with the observed data as much as possible．, 村田省三教授、バスー・ディパック教授定年退職記念号, In Honour of Prof. Shozo Murata and Prof. Dipak R. Basu, 経営と経済, 96(1-2), pp.1-14; 2016},
 pages = {1--14},
 title = {実証的分析視点に基づく短期金利先物モデル},
 volume = {96},
 year = {2016}
}