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ベクトル自己回帰モデルによる日経平均株価予想
https://oiu.repo.nii.ac.jp/records/780
https://oiu.repo.nii.ac.jp/records/78038b55d39-4caf-4385-9273-ce3008f2a8b5
名前 / ファイル | ライセンス | アクション |
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31-2-053.pdf (902.6 kB)
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Item type | [ELS]紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2018-02-23 | |||||
タイトル | ||||||
タイトル | ベクトル自己回帰モデルによる日経平均株価予想 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Prediction of the Nikkei Stock Average by Vector Auto-Regressive Model | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 日経平均株価 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 海外株式指標 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 為替レート | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 相関分析 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 重回帰分析 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | ベクトル自己回帰モデル | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
雑誌書誌ID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN10110523 | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P | |||||
著者 |
植松, 康祐
× 植松, 康祐 |
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記事種別(日) | ||||||
内容記述タイプ | Other | |||||
内容記述 | 論文 | |||||
記事種別(英) | ||||||
内容記述タイプ | Other | |||||
内容記述 | Article | |||||
抄録(英) | ||||||
内容記述タイプ | Other | |||||
内容記述 | When Lehman Brothers went bankrupt in 2008, as in previous global financial crises, we could see that all banks expanding internationally tended to have closer linkage with global markets to perform balance-sheet adjustments. In recent years, the Nikkei stock average has been influenced a great deal by international linkage. I examined how the relationship between the Nikkei stock average and foreign stock indices changes by using correlation analysis. This analysis confirms that international linkage has strengthened in recent years. The purpose of this research is to predict the Nikkei Stock Average. In conventional multiple regression analysis, it is difficult to predict future stock prices. Therefore, models of The United States, Korea, and The United Kingdom are constructed using a Vector Auto-Regressive Model. I try to predict the Nikkei Stock Average for a future period by using an analysis of this data. The Korean and UK models failed, but I succeeded in predicting the Nikkei Stock Average with the United States model. This shows the close economic relationship between Japan and the United States. |
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書誌情報 |
国際研究論叢 : 大阪国際大学紀要 en : OIU journal of international studies 巻 31, 号 2, p. 53-63, 発行日 2018-01-31 |
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表示順 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 5 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 09153586 |