IDEAS home Printed from https://ideas.repec.org/p/cfi/fseres/cf470.html
   My bibliography  Save this paper

Online Appendix for Interest Rate Model with Investor Attitude and Text Mining

Author

Listed:
  • Souta Nakatani

    (MTEC and Graduate School of Economics, University of Tokyo)

  • Kiyohiko G. Nishimura

    (National Graduate Institute for Policy Studies (GRIPS) and CARF, University of Tokyo)

  • Taiga Saito

    (Graduate School of Economics and CARF, University of Tokyo)

  • Akihiko Takahashi

    (Graduate School of Economics and CARF, University of Tokyo)

Abstract

This online appendix provides some results omitted in the paper entitled Interest rate model with investor attitude and text mining by Nakatani et al. (2019).

Suggested Citation

  • Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2019. "Online Appendix for Interest Rate Model with Investor Attitude and Text Mining," CARF F-Series CARF-F-470, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf470
    as

    Download full text from publisher

    File URL: https://www.carf.e.u-tokyo.ac.jp/admin/wp-content/uploads/2019/12/F470.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Michael D. Bauer, 2015. "Nominal Interest Rates and the News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 295-332, March.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. Masafumi Nakano & Akihiko Takahashi & Muhammad Soichiro Takahashi, 2017. "Creating Investment Scheme with State Space Modeling," CIRJE F-Series CIRJE-F-1038, CIRJE, Faculty of Economics, University of Tokyo.
    4. Glenn D. Rudebusch & Tao Wu, 2008. "A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, vol. 118(530), pages 906-926, July.
    5. Hisashi Nakamura & Wataru Nozawa & Akihiko Takahashi, 2009. "Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 231-263, September.
    6. Taiga Saito & Akihiko Takahashi, 2019. "A novel approach to asset pricing with choice of probability measures," CARF F-Series CARF-F-471, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2021.
    7. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")," CARF F-Series CARF-F-405, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    9. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2019. "State space approach to adaptive fuzzy modeling for financial investment (Published in Applied Soft Computing)," CARF F-Series CARF-F-460, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    10. Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2019. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 297-337, September.
    11. Taiga Saito & Akihiko Takahashi, 2019. "A Novel Approach to Asset Pricing with Choice of Probability Measures," CIRJE F-Series CIRJE-F-1131, CIRJE, Faculty of Economics, University of Tokyo.
    12. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2017. "Economics of Pessimism and Optimism," Springer Books, Springer, number 978-4-431-55903-0, September.
    13. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection," CIRJE F-Series CIRJE-F-1037, CIRJE, Faculty of Economics, University of Tokyo.
    14. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "Creating Investment Scheme with State Space Modeling," CARF F-Series cf406, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    15. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "Style analysis with particle filtering and generalized simulated annealing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    16. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2019. "State Space Approach to Adaptive Fuzzy Modeling for Financial Investment," CIRJE F-Series CIRJE-F-1120, CIRJE, Faculty of Economics, University of Tokyo.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Taiga Saito & Shivam Gupta, 2022. "Big Data Applications with Theoretical Models and Social Media in Financial Management," CIRJE F-Series CIRJE-F-1205, CIRJE, Faculty of Economics, University of Tokyo.
    2. Taiga Saito & Shivam Gupta, 2022. "Big data applications with theoretical models and social media in financial management," CARF F-Series CARF-F-550, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access)," CARF F-Series CARF-F-479, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining," CIRJE F-Series CIRJE-F-1152, CIRJE, Faculty of Economics, University of Tokyo.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2019. "Online Appendix for Interest Rate Model with Investor Attitude and Text Mining," CIRJE F-Series CIRJE-F-1136, CIRJE, Faculty of Economics, University of Tokyo.
    2. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access)," CARF F-Series CARF-F-479, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining," CIRJE F-Series CIRJE-F-1152, CIRJE, Faculty of Economics, University of Tokyo.
    4. Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2019. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 297-337, September.
    5. Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2018. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach," CIRJE F-Series CIRJE-F-1101, CIRJE, Faculty of Economics, University of Tokyo.
    6. Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2018. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". )," CARF F-Series CARF-F-446, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2018. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach," Working Papers on Central Bank Communication 003, University of Tokyo, Graduate School of Economics.
    8. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka, 2018. "On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 47-70, March.
    9. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. "State Space Approach to Adaptive Artificial Intelligence Modeling: Application to Financial Portfolio with Fuzzy System," CARF F-Series CARF-F-422, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    10. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2017. "State Space Approach to Adaptive Fuzzy Modeling: Application to Financial Investment," CIRJE F-Series CIRJE-F-1067, CIRJE, Faculty of Economics, University of Tokyo.
    11. Masafumi Nakano & Akihiko Takahashi, 2019. "A New Investment Method with AutoEncoder: Applications to Cryptocurrencies," CIRJE F-Series CIRJE-F-1128, CIRJE, Faculty of Economics, University of Tokyo.
    12. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
    13. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
    14. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 391-408, September.
    15. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2017. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs," CIRJE F-Series CIRJE-F-1069, CIRJE, Faculty of Economics, University of Tokyo.
    16. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
    17. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    18. Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019. "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-456, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    19. Daiya Mita & Akihiko Takahashi, 2022. "Multi-Agent Model Based Proactive Risk Management For Equity Investment," CIRJE F-Series CIRJE-F-1207, CIRJE, Faculty of Economics, University of Tokyo.
    20. Akihiko Takahashi & Soichiro Takahashi, 2022. "A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"," CARF F-Series CARF-F-543, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf470. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/catokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.