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On Asymmetry，Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns：The Case of Japan
Asymmetry effect daily stock returns day-of-the-week effect holiday effect Nikkei 225 stock average stochastic variance model U.S. stock price change effect volatility volatility transmission
2009/3/10
In this paper, we investigate volatility in Japanese stock returns, using the state-space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the s...
Forecasts Based on Official Business Indices in Japan：A Real-Time Analysis
business index probit model real-time forecast
2009/3/10
This paper analyses the performance of forecasts of real economic activity based on the Japanese official business indices in a real-time framework. As in other countries, preliminary numbers of the b...