Vol.50, No.2 (2002) Contents

Vol.50, No.2

PagesTitle/Author(s)
111-116 A tribute to Professor Chikio Hayashi
Genshiro KITAGAWA
Special Topic: Financial Statistics
117-118 On the Special Issue "Financial Statistics"
Satoshi YAMASHITA
119-132 Trading Strategy of TOPIX by Using Markov Switching Stochastic Trend Model
Morikazu HAKAMATA
133-147 An Application of Monte Carlo Filter for Estimating the Term Structure of Interest Rates
Akihiko TAKAHASHI and Seisho SATO
149-164 Nonlinear Regression Models with Regularization and Their Application to Yield Curve Estimation
Yoshinori KAWASAKI and Tomohiro ANDO
165-199 Analytical Properties of GIG and GH Distributions
Hiroki MASUDA
201-216 Equal Slope Assumption and Bond Rating Data : Analysis of Using Ordered Logit Model and Continuation Ratio Model
Takehiko YASUKAWA
217-240 Estimation of Information on Credit Risk Based on a Corporate Bond Pricing Model with a Correlation Structure among Individual Bond Prices
Hiroshi TSUDA
241-258 Estimation of Probability of Default Using Credit Risk Database
Hisanao TAKAHASHI and Satoshi YAMASHITA
259-278 An Analysis for Securitizing of Seismic Risk
Harumi YASHIRO and Sei'ichiro FUKUSHIMA
279-301 Infinite Period Asset and Liability Management for Pension Fund
Satoshi YAMASHITA and Tomoo YATO

303-341 Abstracts of Research Works in 2001

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