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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

Did the expectations channel work? : evidence from quantitative easing in Japan, 2001-06

Tsuji, Chikashi - In: Cogent economics & finance 4 (2016) 1, pp. 1-28

The Japanese economy experienced a prolonged period of quantitative easing (QE) over the five years from March 2001 to March 2006. The purpose of this paper is to evaluate the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and...

Persistent link: https://www.econbiz.de/10011531114

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