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The historical transition of return transmission, volatility spillovers, and dynamic conditional correlations : a fresh perspective and new evidence from the US, UK, and Japanese stock markets

Tsuji, Chikashi - In: Quantitative finance and economics 8 (2024) 2, pp. 410-436

Persistent link: https://www.econbiz.de/10015133094

The meaning of structural breaks for risk management : new evidence, mechanisms, and innovative views for the post-COVID-19 era

Tsuji, Chikashi - In: Quantitative finance and economics 6 (2022) 2, pp. 270-302

Persistent link: https://www.econbiz.de/10013498954

Long-term memory and applying the multi-factor ARFIMA models in financial markets

Tsuji, Chikashi - In: Asia-Pacific financial markets 9 (2002) 3/4, pp. 283-304

Persistent link: https://www.econbiz.de/10001769426

Stock return conjunction in markets with deteriorated sentiment : evidence from the Japanese electric appliances industry

Tsuji, Chikashi - In: Modern economy 3 (2012) 4, pp. 463-468

Persistent link: https://www.econbiz.de/10010097579

An international survey of the evidence on the pecking order theory of corporate financing

Tsuji, Chikashi - In: Business and Economic Research : BER 1 (2011) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010079778

How do the time-varying risk prices behave in Japan? : an investigation with a multivariate GARCH-CAPM approach

Tsuji, Chikashi - In: The open economics journal 1 (2008), pp. 58-63

This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...

Persistent link: https://www.econbiz.de/10010080110