Paper List

(by Seisho Sato)

OCT. 2000

[English]

• Sato, S. and N. Kunitomo , Some Properties of the Maximum Likelihood Estimator in Simultaneous Switching Autoregressive Model, Journal of Time Series Analysis, 17, 287-307, (1996).
• Kunitomo, N. and S. Sato , Asymmetry in Economic Time Series and Simultaneous Switching Autoregressive Model, Structural Change and Economic Dynamics, 7, 1-34, (1996).
• Kunitomo,N and S. Sato , Stationary and Non-stationary Simultaneous Switching Autoregressive Models with an Application to Financial Time Series, The Japanese Economic Review, 50, 161-190, (1999).
• Kunitomo, N. and S. Sato , On Simultaneous Switching Autoregressive Model, Nonlinear Statistical Inference, ed. by C. Hsiao, K. Morimune and J. Powell, Cambridge University Press, (1999).
• Kunitomo, N. and S. Sato , Estimation of Asymmetrical Volatility for Asset Prices: The Simultaneous Switching ARIMA Approach, Discussion Paper 96-E-24, IMES, Bank of Japan, (1996).
• Kitagawa, G. and S. Sato, Nonlinear State Space Model Approach to Financial Time Series With Time-Varying Variance, Proceedings of the Hong Kong International Workshop on Statistics and Finance: An Interface, ed. by W.S. Chan, W.K. Li and H. Tong, Imperial College Press, (2000).
• Kunitomo, N. and S. Sato , Tables of Limiting Distributions Useful for Testing Unit Roots and Co-integration with Multiple Structural Breaks, Discussion Paper Series, 95-F-35, Faculty of Economics, Univ. of Tokyo, (1995).
• Takahashi, A. and S. Sato, Monte Carlo Fitlering Approach for Estimating the Term Structure of Interest Rates, Annals of The Institute of Statistical Mathematics, 53, No.1, 50-62, (2001).

[Japanese]

• 佐藤 整尚 , SSAR モデルを用いた非対称的な経済データの分析, 統計数理, 44, 251-262, (1996).
• 国友直人・佐藤整尚 , 経済時系列における非線形性と不均衡計量経済モデル, 数理統計学の理論と応用, 竹内・竹村編, 東大出版会, 149 - 173, (1994).
• 佐藤 整尚, 操作変数法を用いた同時転換自己回帰モデルの推定，日本統計学会誌，29，257-270, (1999).
• 佐藤 整尚 , Web Decomp の紹介 -- WWW上で行う季節調整システム, 統計数理, 45, 233-243, (1997).
• 川崎 能典・佐藤 整尚 , 季節調整の「最適性」について, 統計数理, 45, 245-263, (1997).
• 北川源四郎・佐藤整尚・永原裕一 , 非ガウス型状態空間モデルによる確率的ボラティリティモデルの推定, 金融研究，第１８巻第１号，日本銀行金融研究所, (1999)．
• 北川源四郎・佐藤整尚, 一般化状態空間モデルによる分散変動時系列の解析, 金融研究, 第１８巻別冊第１号，日本銀行金融研究所, (1999)．
• 川崎・北川・佐藤・田中 , 時系列モデルによる金融政策の分析とシュミレーション, ISM Research Memorandum No. 701, (1998).