This article evaluates the predictive performance of variance risk premiums (VRPs) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different monthly VRPs, such as expected and ex-post VRPs, are measured by using model-free implied and...

Japan has experienced turbulent behavior of land prices after World War II, especially after 1985. This paper first examines the explanatory power of a simple present-value model and shows its limitation. We then investigate two additional (not mutually exclusive) factors affecting the Japanese...

Realized volatility, which is the sum of squared intraday returns over a certain interval such as a day, has recently attracted the attention of financial economists and econometricians as an accurate measure of the true volatility. In the real market, however, the presence of non-trading hours...

A new efficient simulation smoother and disturbance smoother are introduced for asymmetric stochastic volatility models where there exists a correlation between today's return and tomorrow's volatility. The state vector is divided into several blocks where each block consists of many state...

In a Bayesian analysis of a model with Student's-t disturbances developed by Geweke (J. Appl. Econom. 8 (1993) S19), and Fernández and Steel (J. Amer. Statist. Assoc. 93 (1998) 359), the degree-of-freedom of Student's-t disturbances, if unknown, must be sampled from its conditional...

This article examines the pattern of autocorrelation of daily stock index returns in the Tokyo Stock Exchange (TSE) by estimating the two variants of the EGARCH model by Nelson (1991). We confirm the findings by Sentana and Wadhwani (1992) and Koutmos (1997) that stock returns exhibit positive...

This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225...