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Hodoshima Jiro  程島 次郎

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… Alternative Names

程島 次郎  ホドシマ ジロウ

HODOSHIMA Jiro  程島 次郎

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Researcher Number 30181514
Other IDs
External Links
Affiliation (Current) 2025: 名古屋商科大学, 経済学部, 教授
2025: 名古屋市立大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help 2022 – 2023: 名古屋商科大学, 経済学部, 教授
2016 – 2019: 名古屋商科大学, 経済学部, 教授
2014 – 2015: 名古屋市立大学, 経済学研究科(研究院), 教授
2012: 名古屋市立大学, 経済学研究科(研究院), 教授
2007 – 2012: Nagoya City University, 大学院・経済学研究科, 教授
2002 – 2004: 名古屋市立大学, 大学院・経済学研究科, 教授
Review Section/Research Field
Principal Investigator
Economic statistics / Basic Section 07060:Money and finance-related / Economic statistics
Keywords
Principal Investigator
実証研究 / シミュレーション / bootstrap / 計量ファイナンス / Performance measure / Aumann-Serrano index / weak exogeneity / normal mixture / 計量経済学 / 経済統計学 … More / 弱外生性 / 確率過程 / Foster-Hart index / 統計学 / 理論研究 / 期待効用最大化 / プロジェクト評価 / リスク評価 / 数理ファイナンス / GARCH model / 資産価格の評価への応用 / Normal mixture / 期待効用無差別価値 / Aumann-Serrano / 効用無差別価値 / 計量分析 / risk loving / IRRA / 期待効用無差別価格理論 / performance measure / nonnormality / asymptotic covariance matrix / asset pricing model / robustness / elliptical distribution / stochastic regression model / 最小2乗推定量 / 非正規モデル / 楕円分布族 / 非正規分布 / 漸近共分散行列 / 資産価格モデル / ロバストネス / 楕円分布 / 確率的回帰モデル / clustering / 福島原発事故 / heteroskedasticity / ぺネルデータ分析 / 福島原発の影響 / Hetoroskedasticity / Bootstrap / パネルデータ分析 / 統計的推測 / 漸近分散の推定 / 条件付分散 / 条件付き分散 / 漸近分布 / 非正規性 Less
  • Research Projects

    (6 results)
  • Research Products

    (95 results)
  • Co-Researchers

    (3 People)
  •  Theory and applications of performance measuresPrincipal Investigator

    • Principal Investigator
      程島 次郎
    • Project Period (FY)
      2022 – 2024
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07060:Money and finance-related
    • Research Institution
      Nagoya University of Commerce & Business
  •  Construction of a system of evaluating assets based on utility indifference pricingPrincipal Investigator

    • Principal Investigator
      HODOSHIMA Jiro
    • Project Period (FY)
      2017 – 2019
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Nagoya University of Commerce & Business
  •  Econometrics of asset pricing modelsPrincipal Investigator

    • Principal Investigator
      Hodoshima Jiro
    • Project Period (FY)
      2014 – 2016
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Nagoya University of Commerce & Business
      Nagoya City University
  •  Stochastic Regression Models and Their ApplicationsPrincipal Investigator

    • Principal Investigator
      HODOSHIMA Jiro
    • Project Period (FY)
      2010 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Nagoya City University
  •  On the inference of stochastic regression modelsPrincipal Investigator

    • Principal Investigator
      HODOSHIMA Jiro
    • Project Period (FY)
      2007 – 2009
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Nagoya City University
  •  Evaluation of the effect of stochastic explanatory variables in regression models when the underlying distribution is in the class of elliptical distributionsPrincipal Investigator

    • Principal Investigator
      HODOSHIMA Jiro
    • Project Period (FY)
      2002 – 2004
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      NAGOYA CITY UNIVERSITY

All 2024 2023 2022 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2005 2004 2003 Other

All Journal Article Presentation Book

  • [Book] 『名市大発 経済学・経営学のエッセンス』2014

    • Author(s)
      程島次郎
    • Total Pages
      5
    • Publisher
      HIME企画
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Book] 経済時系列ハンドブック(分担執筆)2012

    • Author(s)
      程島次郎
    • Publisher
      朝倉書店
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Book] 経済時系列ハンドブック(「CAPM とマルチファクターモデルとポートフォリオ」)2012

    • Author(s)
      程島次郎
    • Publisher
      朝倉書店
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Book] CAPMとマルチファクターモデルとポートフォリオ「経済時系列ハンドブック」(分担執筆)2012

    • Author(s)
      程島次郎
    • Total Pages
      11
    • Publisher
      朝倉書店(発行確定)
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] THE AUMANN-SERRANO PERFORMANCE INDEX OF DOW 30 COMPONENTS AND DOW JONES INDUSTRIAL AVERAGE BEFORE AND AFTER THE GLOBAL FINANCIAL CRISIS2024

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 68 Issue: 1 Pages: 53-79

    • DOI

      10.17654/0972086324004

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22K01586
  • [Journal Article] Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes2022

    • Author(s)
      Hodoshima Jiro、Yamawake Toshiyuki
    • Journal Title

      International Review of Financial Analysis

      Volume: 83 Pages: 1022-1032

    • DOI

      10.1016/j.irfa.2022.102232

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22K01586
  • [Journal Article] Utility indifference pricing and mean-variance approach when the degree of risk aversion is small2022

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 66 Pages: 135-146

    • DOI

      10.17654/0972086322016

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22K01586
  • [Journal Article] Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan2020

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Empirical Economics

      Volume: - Issue: 1 Pages: 101-120

    • DOI

      10.1007/s00181-020-01869-5

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Utility indifference pricing and the Aumann?Serrano performance index2020

    • Author(s)
      Hodoshima Jiro、Miyahara Yoshio
    • Journal Title

      Journal of Mathematical Economics

      Volume: 86 Pages: 83-89

    • DOI

      10.1016/j.jmateco.2019.12.002

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18K03421, KAKENHI-PROJECT-17K03667
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility2019

    • Author(s)
      Jiro Hodoshima and Toshiyuki Yamawake
    • Journal Title

      Finance Research Letters

      Volume: 28 Pages: 74-81

    • DOI

      10.1016/j.frl.2018.04.006

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Stock performance by utility indifference pricing and the Sharpe ratio2019

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Quantitative Finance

      Volume: 19 Issue: 2 Pages: 327-338

    • DOI

      10.1080/14697688.2018.1478121

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance2019

    • Author(s)
      Jiro Hodoshima and Nana Otsuki
    • Journal Title

      Applied Economics

      Volume: 51 Issue: 39 Pages: 4282-4298

    • DOI

      10.1080/00036846.2019.1591601

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan2019

    • Author(s)
      J. Hodoshima, T. Misawa, and Y. Miyahara
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: - Issue: 2 Pages: 155-174

    • DOI

      10.1007/s10690-019-09287-z

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17K03667, KAKENHI-PROJECT-18K03421
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture2018

    • Author(s)
      Jiro Hodoshima, Toshiyuki Yamawake
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 17301 Pages: 1-26

    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Evaluation of Performance of Stock and REIT Markets in Japan2018

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 17302 Pages: 1-31

    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under normal mixture2018

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Finance Research Letters

      Volume: 24 Pages: 221-229

    • DOI

      10.1016/j.frl.2017.09.008

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-17K03667, KAKENHI-PROJECT-15K04933
  • [Journal Article] normal mixtureのファイナンスへの応用2017

    • Author(s)
      程島次郎
    • Journal Title

      名古屋市立大学経済学研究科紀要『オイコノミカ』

      Volume: 54 Pages: 3-13

    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Evaluation of performance of stocks: Evidence from Japan2017

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 8 Pages: 1-22

    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Stock performance by utility indifference pricing2017

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 5 Pages: 1-23

    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Journal Article] Normal mixtureのファイナンスへの応用2017

    • Author(s)
      程島次郎
    • Journal Title

      オイコノミカ

      Volume: 54

    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016

    • Author(s)
      程島次郎、三澤哲也、宮原孝夫
    • Journal Title

      2016年度統計関連学会連合大会講演報告集

      Volume: なし Pages: 30-30

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] Reexamination of the Robustness of the Fama-French Three-Factor Model2016

    • Author(s)
      Masayuki Hirukawa and Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 52 Pages: 215-234

    • Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] 福島原発事故の影響を調べてみて2015

    • Author(s)
      程島次郎
    • Journal Title

      「国際地域経済研究」

      Volume: 16 Pages: 5-15

    • NAID

      40020951601

    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2014

    • Author(s)
      Jiro Hodoshima and Yuichi Morita
    • Journal Title

      Institute of Economic Research Discussion Paper Series, Nagoya City University

      Volume: 57 Pages: 1-20

    • Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Institute of Economic Research Discussion Paper Series, Nagoya City University

      Volume: 56 Pages: 1-41

    • Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos'conditional t heteroskedastic model2013

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Communications in Statistics-Simulation and Computation

      Volume: Vol. 42 Pages: 1727-1749

    • DOI

      10.1080/03610918.2012.675112

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] 福島原発事故の電力会社とガス会社の株価への影響2013

    • Author(s)
      程島次郎
    • Journal Title

      国際地域経済研究

      Volume: 13巻 Pages: 17-25

    • NAID

      40020133201

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] Finite-sample properties of the conditional maximum likelihood estimator and block-diagonality of the information matrix in Spanos'conditional t heteroskedastic model2012

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Nagoya City University Discussion Papers in Economics

      Volume: No. 559 Pages: 1-24

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] Reexamination of the robustness of the Fama-French three-factor model2012

    • Author(s)
      Masayuki Hirukawa and Jiro Hodoshima
    • Journal Title

      Nagoya City University Discussion Papers in Economics

      Volume: No. 561 Pages: 1-36

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos' conditional t heteroskedastic model2012

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Communications in Statistics-Simulation and Computation

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2012

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Communications in Statistics-Theory and Methods

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] Finite-sample properties of the conditional maximum likelihood estimator and block-diagonality of the information matrix in Spanos' conditional t heteroskedastic model2012

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Nagoya City University Discussion Papers in Economics

      Volume: 559 Pages: 1-24

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos' conditional t heteroskedastic model2011

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion Papers in Economics, Nagoya City University

      Volume: 530 Pages: 1-19

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] 条件付分散が不均一なモデルにおける相関のスペシフィケーションについて2010

    • Author(s)
      程島次郎
    • Journal Title

      オイコノミカ 46巻,3号

      Pages: 113-121

    • NAID

      120006682423

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2010

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      mimeograph

      Pages: 1-27

    • Data Source
      KAKENHI-PROJECT-22530210
  • [Journal Article] ガソリン、灯油、原油の3つの商品先物の高頻度データによる時系列相関分析2010

    • Author(s)
      程島次郎, 森本孝之
    • Journal Title

      先物取引研究 (掲載予定)

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] 条件付分散が不均-なモデルにおける相関のスペシフィケーションについて2010

    • Author(s)
      程島次郎
    • Journal Title

      オイコノミカ 46

      Pages: 113-121

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Bootstrapping stochastic regression models : wild bootstrap vs. pairs bootstrap2009

    • Author(s)
      Jiro Hodoshima, Masakazu Ando
    • Journal Title

      Journal of statistical computation and simulation Vol.79

      Pages: 1-11

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The robustness of asset pricing models with time varying conditional covariance matrix : coskewness and cokurtosis2009

    • Author(s)
      程島次郎
    • Journal Title

      Discussion papers in Economics, Nagoya City University 506

      Pages: 1-13

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The robustness of asset pricing models with time varying conditional covariance matrix: coskewness and cokurtosis2009

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics(Nagoya City University) No.506

      Pages: 1-13

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Properties of the likelihood function of Spanos' conditional t heteroskedastic model2009

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics(Nagoya City University) No.505

      Pages: 1-20

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The asymptotic covariance matrix of the least squares estimator in the stochastic linear regression model: the case of elliptically symmetric distribution, Communications in Statistics2009

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Theory and Methods Vol.38

      Pages: 661-674

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Bootstrapping stochastic regression models : wild bootstrap vs.pairs bootstrap2009

    • Author(s)
      Jiro Hodoshima, Masakazu Ando
    • Journal Title

      Journal of statistical computation and simulation 79

      Pages: 1-11

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Properties of the likelihood function of Spanos' conditional t heteroskedastic model2009

    • Author(s)
      程島次郎
    • Journal Title

      Discussion papers in Economics, Nagoya City Univarsity 505

      Pages: 1-20

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] ガソリン、灯油、原油の3つの商品先物の高頻度データによる時系列相関分析2009

    • Author(s)
      程島次郎, 森本孝之
    • Journal Title

      先物取引研究 掲載確定

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The asymptotic oovariance matrix of the least squares estimator in the stochastic linear regression model : the case of elliptically symmetric distribution2009

    • Author(s)
      Tiro Hodoshima
    • Journal Title

      Communications in Statistics, Theory and Methods 38

      Pages: 661-674

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] A simulation study of White's test for heteroskedasticity in fixed and stochastic regression models2008

    • Author(s)
      Jiro Hodoshima, Masakazu Ando
    • Journal Title

      Communications in Statistics, Simulation and Computation Vol.36,No.6

      Pages: 897-906

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Partial weak exogeneity under nonnormality2008

    • Author(s)
      Tiro Hodoshima
    • Journal Title

      Mimeograph

      Pages: 1-12

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The robustness of asset pricing models: Coskewness and cokurtosis II2008

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      mimeograph

      Pages: 1-9

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] A simulation study of White's test for heteroskedasticity in fixed and stochastic regression models2008

    • Author(s)
      Jiro Hodoshima and Masakazu Ando
    • Journal Title

      Communications in Statistics-Simulation and Computation 37(未定)

      Pages: 897-906

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The finite-sample performance of White's test for heteroskedasticity under stochastic regressors2007

    • Author(s)
      Jiro Hodoshima, Masakazu Ando
    • Journal Title

      Communications in Statistics, Simulation and Computation Vol.37,No.5

      Pages: 1201-1215

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] A note on bootstrapped White's test for heteroskedasticity in regression models2007

    • Author(s)
      Masakazu Ando, Jiro Hodoshima
    • Journal Title

      Economics Letters Vol.97

      Pages: 46-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] The finite-sample performance of White's test for heteroskedasticity under stochastic regressors2007

    • Author(s)
      Jiro Hodoshima and Masakazu Ando
    • Journal Title

      Communications in Statistics-Simulation and Computation 36

      Pages: 1201-1215

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Bootstrapping stochastic regression models: Wild bootstrap VS. pairs bootstrap2007

    • Author(s)
      Jiro Hodoshima and Masakazu Ando
    • Journal Title

      Discussion Papers in Economics 474

      Pages: 1-27

    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] A note on bootstrapped White's test for heteroskedasticity in regression models2007

    • Author(s)
      Masakazu Ando and Jiro Hodoshima
    • Journal Title

      Economics Letters 97

      Pages: 46-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Journal Article] Rejoinder to the author's reply2005

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      IEEE Transactions on Automatic Control 50(to appear)(未定)

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Rejoinder to author's reply2005

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      IEEE Transactions on Automatic Control 50.7(to appear)(未定)

    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of non-independence of explanatory variables and error term and heteroskedasticity in stochastic regression models2005

    • Author(s)
      Hodoshima, J., Ando, M.
    • Journal Title

      Discussion papers in Economics, Nagoya City University 399

      Pages: 1-43

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of non-independence of explanatory variables and error term and heteroskedasticity in stochastic regression models2004

    • Author(s)
      Hodoshima, J., Ando, M.
    • Journal Title

      Discussion papers in Economics 399

      Pages: 1-31

    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the inference of expected asset returns in asset pricing models2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 392

      Pages: 1-33

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the inference of expected asset returns in asset pricing models2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 392

      Pages: 1-33

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Weak exogeneity under nonnormality2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 380

      Pages: 1-9

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Weak exogeneity under nonnormality2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 380

      Pages: 1-9

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Comparison of the joint and conditional maximum likelihood estimators in the student's t linear heteroskedastic regression model2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 386

      Pages: 1-23

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Tail-thickness in terms of cov(Xj^2,Xp^2) in the class of elliptical distributions2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Journal of statistical planning and inference 121

      Pages: 285-289

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Comparison of the joint and conditional maximum likelihood estimators in the student's t linear heteroskedastic regression model2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 386

      Pages: 1-23

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] Comparison of the joint and conditional maximum likelihood estimators for the student's t linear heteroskedastic regression model2004

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 386

      Pages: 1-21

    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the stochastic regression model2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 342

      Pages: 1-23

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the stochastic regression model2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 342

      Pages: 1-23

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] A finite-sample study of the GMM variance estimators for the stochastic regression model under nonnormality2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 357

      Pages: 1-29

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the market model: Skewness and kurtosis2003

    • Author(s)
      Masakazu Ando, Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 365

      Pages: 1-19

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] A finite-sample study of the GMM variance estimators for the stochastic regression model under nonnormality2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 357

      Pages: 1-29

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the market model : quantitative evaluation2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 359

      Pages: 1-32

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the market model : Skewness and kurtosis2003

    • Author(s)
      Masakazu Ando, Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics, Nagoya City University 365

      Pages: 1-19

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] The effect of nonnormality on the market model: quantitative evaluation2003

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Discussion papers in Economics 359

      Pages: 1-32

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14530036
  • [Journal Article] On the properties of the likelihood function of Spanos'conditional t heteroskedastic model

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Communications in Statistics-Theory and Methods

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Presentation] Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness2023

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-22K01586
  • [Presentation] Temporal aggregation of the Aumann--Serrano and Foster--Hart performance indexes2022

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-22K01586
  • [Presentation] Utility indifference pricing and the Aumann-Serrano index2019

    • Author(s)
      Jiro Hodoshima and Yoshio Miyahara
    • Organizer
      JAFEE
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Presentation] Evaluation by the Aumann and Serrano Performance Index and Sharpe Ratio: Bitcoin Performance2019

    • Author(s)
      Jiro Hodoshima
    • Organizer
      ファイナンス研究会(名古屋商科大学)
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Presentation] Comparison of the risk-sensitive value measure and mean-variance approach under normal mixture2017

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-17K03667
  • [Presentation] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016

    • Author(s)
      程島次郎
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      金沢大学
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2015

    • Author(s)
      程島次郎
    • Organizer
      名古屋市立大学附属経済研究所プロジェクト報告会
    • Place of Presentation
      名古屋市立大学経済学部
    • Year and Date
      2015-03-20
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Presentation] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2015

    • Author(s)
      Jiro Hodoshima
    • Organizer
      The eighth international conference of the Thailand econometric society
    • Place of Presentation
      Faculty of Economics, Chiang Mai University
    • Year and Date
      2015-01-08
    • Invited
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      程島次郎
    • Organizer
      経済・ファイナンス分析のための統計的方法―刈屋武昭教授古希記念シンポジウムー
    • Place of Presentation
      学習院大学
    • Year and Date
      2014-09-12
    • Invited
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014

    • Author(s)
      程島次郎
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学
    • Year and Date
      2014-09-15
    • Data Source
      KAKENHI-PROJECT-26380272
  • [Presentation] The effect of the Fukushima nuclear accident on bond risk premia and stock returns of electric power and gas utilities2013

    • Author(s)
      Jiro Hodoshima
    • Organizer
      名古屋市立大学経済研究所プロジェクト報告会
    • Place of Presentation
      名古屋市立大学滝子キャンパス3号館大学院第4教室
    • Year and Date
      2013-03-01
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Presentation] The effect of the Fukushima nuclear accident on bond risk premia and stock returns of electric power and gas utilities2013

    • Author(s)
      程島次郎
    • Organizer
      名古屋市立大学経済研究所プロジェクト報告会
    • Place of Presentation
      名古屋市立大学滝子キャンパス3号館大学院第4教室(愛知県名古屋市)
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Presentation] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2011

    • Author(s)
      Jiro Hodoshima
    • Organizer
      4th conference of the Thailand Econometric Society
    • Place of Presentation
      Chiang Mai University, Thailand
    • Year and Date
      2011-01-13
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Presentation] On the properties of the likelihood function of Spanos'conditional t heteroskedastic model2011

    • Author(s)
      Jiro Hodoshima
    • Organizer
      4th conference of the Thailand Econometric Society
    • Place of Presentation
      Chiang Mai University, Thailand
    • Year and Date
      2011-01-13
    • Data Source
      KAKENHI-PROJECT-22530210
  • [Presentation] 確率的回帰モデルの推測について2008

    • Author(s)
      程島次郎
    • Organizer
      科研費シンポジウム「計量ファイナンスと時系列解析法の新たな展開」
    • Place of Presentation
      香川大学
    • Year and Date
      2008-01-26
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Presentation] 確率的回帰モデルの推測について」科研費基盤研究(A)「統計科学における数理的手法の理論と応用2008

    • Author(s)
      程島次郎
    • Organizer
      計量ファイナンスと時系列解析法の新たな展開
    • Place of Presentation
      香川大学
    • Year and Date
      2008-01-26
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Presentation] On the inference of stochastic regression models2008

    • Author(s)
      程島次郎
    • Organizer
      Seminar at School of Economics, Singapore Management University
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2008-03-17
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Presentation] On the inference of stochastic regression models.2008

    • Author(s)
      Jiro Hodoshima
    • Organizer
      Seminar at School of Economics
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2008-03-17
    • Data Source
      KAKENHI-PROJECT-19530184
  • [Presentation] 原油、ガソリン, 灯油の3つの商品先物の高頻度データによるクロス相関分析2008

    • Author(s)
      程島次郎, 森本孝之
    • Organizer
      2008年度統計関連学会連合大会
    • Place of Presentation
      慶応大学
    • Year and Date
      2008-09-09
    • Data Source
      KAKENHI-PROJECT-19530184
  • 1.  三澤 哲也 (10190620)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 4 results
  • 2.  宮原 孝夫 (20106256)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 6 results
  • 3.  山分 俊幸 (40434592)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 1 results

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