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Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis
http://hdl.handle.net/10441/13907
http://hdl.handle.net/10441/13907a2a65a8f-5e2d-4592-b6aa-055e3bd6b02f
名前 / ファイル | ライセンス | アクション |
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DPB14_p.1-22 菊池健太郎.pdf (343.0 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2015-01-07 | |||||
タイトル | ||||||
タイトル | Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | risk premium | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | quadratic Gaussian term structure model | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | unscented Kalman filter | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | algebraic Riccati equation | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | controllability | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | portfolio rebalance | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
Kikuchi, Kentaro
× Kikuchi, Kentaro |
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著者(ヨミ) | ||||||
姓名 | キクチ, ケンタロウ | |||||
著者別名 | ||||||
姓名 | 菊池, 健太郎 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This study proposes a joint pricing model for stocks and bonds in a no-arbitrage framework. A stock price representation is obtained in a manner consistent with the quadratic Gaussian term structure model, in which the short rate is the quadratic form of the state variables. In this study, specifying the dividend as a function using the quadratic form of the state variables leads to a stock price representation that is exponential-quadratic in the state variables. We prove that the coefficients determining the stock price have to satisfy some matrix equations, including an algebraic Riccati equation. Moreover, we specify the sufficient condition in which the matrix equations do have a unique solution. In our empirical analysis using Japanese data, we obtain estimates with a good fit to the actual data. Furthermore, we estimate the risk premiums for stocks and bonds and analyze how the BOJ’s unconventional monetary policy has affected these risk premiums. |
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引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | CRR Discussion Paper, Series B, No. B-14, pp. 1-22 | |||||
書誌情報 |
CRR Discussion Paper, Series B 号 No. B-14, p. 1-22, 発行日 2015-01 |
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出版者 | ||||||
出版者 | Center for Risk Research (CRR), Shiga University | |||||
資源タイプ | ||||||
内容記述タイプ | Other | |||||
内容記述 | Technical Report |