Details about Hisashi Tanizaki

Access statistics for papers by Hisashi Tanizaki.

Last updated 2024-05-07. Update your information in the RePEc Author Service.

Short-id: pta865

Working Papers

2022

1. Volatility Analysis of Sustainability-Themed Japanese Equity Indices
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics

2021

2. A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
3. A Study on the Level of Market Efficiency Based on CSI 300 and 300 Constituent Stocks
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
4. A Study on the Level of Market Efficiency in Five Markets
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
5. A Study on the Level of Market Efficiency in five countries
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
6. How did the Complementary Deposit Facility affect commercial bank fs demand for reserve? Empirical analysis using bank fs financial data
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
7. Some issues related to the Japanese financial system raised by the amendment of Payment Act in 2020
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics

Journal Articles

2024

1. Volatility and returns of ESG indices: evidence from Japan
   SN Business & Economics, 2024, 4, (3), 1-21

2023

2. The response of gold to the COVID-19 pandemic
   Studies in Economics and Finance, 2023, 40, (5), 859-877

2022

3. Intraday patterns of price clustering in Bitcoin
   Financial Innovation, 2022, 8, (1), 1-25 View citations (10)

2019

4. Fat-tailed stochastic volatility model and the stock market returns in China
   China Finance Review International, 2019, 11, (2), 170-184 View citations (1)
5. On the day-of-the-week effects of Bitcoin markets: international evidence
   China Finance Review International, 2019, 9, (4), 455-478 View citations (3)
6. The day-of-the-week effect on Bitcoin return and volatility
   Research in International Business and Finance, 2019, 49, (C), 127-136 View citations (23)

2014

7. On estimation of almost ideal demand system using moving blocks bootstrap and pairs bootstrap methods
   Empirical Economics, 2014, 47, (4), 1221-1250 View citations (3)

2009

8. Volatility transmission between Japan, UK and USA in daily stock returns
   Empirical Economics, 2009, 36, (1), 27-54 View citations (15)

2008

9. A Simple Gamma Random Number Generator for Arbitrary Shape Parameters
   Economics Bulletin, 2008, 3, (7), 1-10 View citations (4)

2006

10. On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods
    Statistical Papers, 2006, 47, (1), 109-124 View citations (6)

2001

11. Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling
    Computational Statistics & Data Analysis, 2001, 37, (2), 151-170 View citations (29)
12. Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques
    Annals of the Institute of Statistical Mathematics, 2001, 53, (1), 63-81 View citations (3)

2000

13. Bias correction of OLSE in the regression model with lagged dependent variables
    Computational Statistics & Data Analysis, 2000, 34, (4), 495-511 View citations (8)

1998

14. Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
    Journal of Econometrics, 1998, 83, (1-2), 263-290 View citations (22)

1997

15. Nonlinear and nonnormal filters using Monte Carlo methods
    Computational Statistics & Data Analysis, 1997, 25, (4), 417-439 View citations (1)
16. Power comparison of non-parametric tests: Small-sample properties from Monte Carlo experiments
    Journal of Applied Statistics, 1997, 24, (5), 603-632 View citations (7)

1994

17. Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration
    Journal of Applied Econometrics, 1994, 9, (2), 163-79 View citations (13)

1993

18. Kalman Filter Model with Qualitative Dependent Variables
    The Review of Economics and Statistics, 1993, 75, (4), 747-52 View citations (6)

1989

19. The Kalman filter model under the assumption of the first-order autoregressive process in the disturbance terms
    Economics Letters, 1989, 31, (2), 145-149 View citations (1)