研究者情報 - 島田　淳二

シマダ　ジュンジ SHIMADA Junji
島田　淳二

所属

青山学院大学経営学部マーケティング学科

職種教授

研究業績（著書・論文等）
1.	論文	A Network Analysis on Country and Financial Center Attractiveness: Evidence from Asian Economies, 2001-2018 International Review of Economics and Finance 87,418-432頁 (共著) 2023/04
2.	論文	Network analysis of local currency Asian government bond markets: Assessments of the ABFI and the ABMI North American Journal of Economics and Finance 62 (共著) 2022/11
3.	論文	Who is the Center of Local Currency Asian Government Bond Markets? Japan and the World Economy 59 (共著) 2021/09
4.	論文	The Impact of Quantitative Easing and Carry Trade on the Real Estate Market in Hong Kong International Review of Economics and Finance 69,958-976頁 (共著) 2020/06
5.	論文	The Multivariate GARCH Model and Its Application to East Asian Financial Market Integration Handbook of Financial Econometrics, Mathematics, Statistics and Machine Learning, Vol.4,4209-4254頁 (共著) 2020/04
6.	論文	Bond Market Integration in East Asia: A Multivariate GARCH with Dynamic Conditional Correlations Approach International Review of Economics and Finance 51,193-213頁 (共著) 2017/05
7.	論文	The Dynamic Effects of Quantitative Easing on Stock Price: Evidence from Asian Emerging Markets, 2001-2016 International Review of Economics and Finance 49,548-567頁 (共著) 2017/03
8.	論文	The Impacts of the 2008 and 2011 Crises on the Japan REIT Market Journal of the Japanese and International Economies 41,30-40頁 (共著) 2016/09
9.	論文	Magnitudes of Market Inefficiency: Theory and Application Japan and the World Economy 39,23-36頁 (共著) 2016/09
10.	論文	The dynamic contagion of the global financial crisis into Japanese markets Japan and the World Economy 31,47-53頁 (共著) 2014/08
11.	論文	Rational Expectation Bubbles: Evidence from Hong Kong's Sub-Indices Applied Economics 46 (20),2429-2440頁 (共著) 2014/04
12.	論文	The Impacts of The IMF-Supported Structural Reform Program on Asian Stock Market Efficiency The Singapore Economic Review 57 (4) (共著) 2012/12
13.	論文	An Empirical Analysis of Japanese Interest Rate Swap Spread Recent Advances in Financial Engineering 2011,111-131頁 (共著) 2012/08
14.	論文	The Dynamic Welfare Cost of Stagnation: An Alternative Measure to the Lucas-Obstfeld Model Pacific Economic Review 16 (2),168-191頁 (共著) 2011/05
15.	論文	Dynamic Welfare Costs of the 1997 Asian Crisis Empirical Economics (Springer),73-92頁 (共著) 2009/06
16.	論文	Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the US: the EGARCH vs. SV Models The Singapore Economic Review 54 (1),123-134頁 (共著) 2009/04
17.	論文	Laplace Approximation for Asymmetric SV model 『青山経営論集』(青山学院大学経営学会),251-264 (単著) 2007/07
18.	論文	A Nonlinear Filtering and Maximum Likelihood Estimation for the Stochastic Volatility Model Aoyama Institute for Global Business Working Paper,Aoyama Institute for Global Business (2006-1) (共著) 2006/08
19.	論文	Maximum Likelihood Estimation of the Stochastic Volatility Model: A Third Order Approximation Method 『青山経営論集』(青山学院大学経営学会),105-126 (単著) 2006/03
20.	論文	Dynamic Efficiency in the East European Emerging Markets Asia-Pacific Financial Markets 12 (2),159-179頁 (共著) 2006/03
21.	論文	Estimation of stochastic volatility models: an approximation to the nonlinear state space representation Communications in Statistics: Simulation and Computation 34 (2),429-450頁 (共著) 2005/06
22.	論文	Testing the Efficiency of Stock Markets in Emerging Economies: Is Random-walk Type Time-varying Model Adequate? 『研究年報経済学』(東北大学),99-116 (共著) 2005/03
23.	論文	The volatility spillover effects between the Japanese and the US stock markets 『東北経済学会誌』(東北経済学会),34-45 (共著) 2003/12
24.	論文	マルコフ連鎖モンテカルロ法による確率的ボラティリティモデルの推定―MCMCアルゴリズム改良の再検討― 『研究年報経済学』(東北大学),1-20 (単著) 2002/06
25.	論文	ボラティリティ変動モデルの研究博士学位請求論文, 東北大学大学院経済学研究科提出, 2001年3月26日博士学位授与(経博第63号). (単著) 2001/03
26.	論文	株式収益率の分布の非対称性―ARCHモデルによる分析― 『研究年報経済学』(東北大学),97-109 (単著) 1999/05
27.	論文	An EGARCH Model with Possible Asymmetric Error Distribution and Its Application to TOPIX Proceedings of The 5th JAFEE International Conference(JAFEE),131-148頁 (共著) 1999/03
28.	著書	サブプライムローン問題の日本経済への影響:日本を襲った2つの金融危機 (共著) 2011/08
29.	その他	(翻訳）『ベイズ計量経済学ハンドブック』(The Oxford handbook of Bayesian econometrics, John Geweke, Gary Koop, Herman Van Dijk eds.), 「第９章ベイズ統計のファイナンスへの応用」朝倉書店 (共著) 2013/09