金融市場のボラティリティを金融政策および経済変動との関係

Products Report

• Project/Area Number: 21330077
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Wakayama University
• Principal Investigator: NABIL Maghrebi 和歌山大学, 経済学部, 教授 (20283947)
• Co-Investigator(Kenkyū-buntansha): NISHINA Kazuhiko 明治学院大学, 経済学部, 教授 (30094311)
• Co-Investigator(Renkei-kenkyūsha): J. HOLMES Mark Waikato University, NEW ZEALAND, Waikato Management School, Professor ; KIM Moo sung Pusan National University, KOREA, College of Business Administration, Professor
• Project Period (FY): 2009 – 2011

Research Products

• [Journal Article] Nonlinear Adjustments of Volatility Expectations to Forecast Errors : Evidence from Markov-Regime Switches in Implied Volatility (2012)
  • Author(s): Kazuhiko Nishina, Nabil Maghrebi and Mark J. Holmes
  • Journal Title: Review of Pacific Basin Financial Markets and Policies
  • Description: forthcoming
  • Peer Reviewed
• [Presentation] The formation of volatility expectations during financial crises : Evidence from Markov-regime switches in implied volatility indices (2011)
  • Author(s): Nabil Maghrebi, Kazuhiko Nishina, and Mark J. Holmes
  • Organizer: The 7^<th> Annual Conference of the Asia-pacific Association of Deriuatiues APAD 2011
  • Place of Presentation: Korea Derivatives Association, Seoul, Korea
  • Year and Date: 2011-08-25 – 2011-08-26