@techreport{oai:shiga-u.repo.nii.ac.jp:00009869,
 author = {Kikuchi, Kentaro},
 issue = {No. B-14},
 month = {Jan},
 note = {Technical Report, 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., CRR Discussion Paper, Series B, No. B-14, pp. 1-22},
 title = {Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis},
 year = {2015}
}