Intraday patterns of price clustering in Bitcoin

Donglian Ma, Hisashi Tanizaki

Financial Innovation　Vol. 8　No. 4　p. 1-25　2022/01　Research paper (scientific journal)

Fat-tailed stochastic volatility model and the stock market returns in China

Donglian Ma, Hisashi Tanizaki

China Finance Review International　Vol. 11　No. 2　p. 170-184　2021/04　Research paper (scientific journal)

大学生のキャッシュレス決済に関する計量分析

渡辺千夏良, 谷崎久志

消費者庁・国際消費者政策研究センター，リサーチ・ディスカッション・ペーパー　Vol. No.1　p. 1-41　2021/03　Research paper (other academic)

Nonlinear Smoother with Markov Chain Monte Carlo

Hisashi Tanizaki

Nonlinear Filters (S. Sugimoto, M. Murata and K. Ohnishi, Eds.), Ohmsha, Ltd.　Vol. Chap.9, pp.347-379　2020/12　Part of collection (book)

障がい者の消費行動と消費者事故・消費者トラブルに関する計量分析

谷崎久志, 渡辺千夏良

消費者行政新未来創造オフィス，消費者行政新未来創造ディスカッション・ペーパー・シリーズ（https://www.caa.go.jp/future/project/project_014/）　Vol. No.3　p. 1-41　2020/07

On the day-of-the-week effects of Bitcoin markets: international evidence

Donglian Ma, Hisashi Tanizaki

CHINA FINANCE REVIEW INTERNATIONAL　Vol. 9　No. 4　p. 455-478　2019/11　Research paper (scientific journal)

The day-of-the-week effect on Bitcoin return and volatility

Donglian Ma, Hisashi Tanizaki

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE　Vol. 49　p. 127-136　2019/10　Research paper (scientific journal)

「物価モニター調査」を利用したインフレ予想の要因分析

粟屋拓馬, 谷崎久志

消費者行政新未来創造オフィス，消費者行政新未来創造ディスカッション・ペーパー・シリーズ（https://www.caa.go.jp/future/project/project_014/）　Vol. 2　p. 1-32　2019/05

消費者事故・トラブルに関する統計分析:「消費者意識基本調査」調査票データを用いて

吉川純平, 谷崎久志

消費者行政新未来創造オフィス，消費者行政新未来創造ディスカッション・ペーパー・シリーズ（https://www.caa.go.jp/future/project/project_014/）　Vol. 3　p. 1-18　2018/04

Effects of the Great Eastern Japan Earthquake on Housing Prices : Evidence from Second-hand Apartment Prices in Osaka City

Yasumoto Daisuke, Tanizaki Hisashi

Vol. 65　No. 2　p. 39-55　2015/09　Research paper (bulletin of university, research institution)

On estimation of almost ideal demand system using moving blocks bootstrap and pairs bootstrap methods

Ken-ichi Mizobuchi, Hisashi Tanizaki

EMPIRICAL ECONOMICS　Vol. 47　No. 4　p. 1221-1250　2014/12　Research paper (scientific journal)

On Volatility Linkages among Stock Price, Exchange Rate and Interest Rate in Japan

Hisashi Tanizaki

Vol. 66　No. 1　p. 29-46　2012/06　Research paper (bulletin of university, research institution)

Volatility transmission between Japan, UK and USA in daily stock returns

Hisashi Tanizaki, Shigeyuki Hamori

EMPIRICAL ECONOMICS　Vol. 36　No. 1　p. 27-54　2009/02　Research paper (scientific journal)

Structural VAR approach to the sources of exchange rate fluctuations in sub-saharan African countries

Shigeyuki Hamori, Hisashi Tanizaki

Economics of Developing Countries　p. 3-18　2009/01/01　Part of collection (book)

On Gamma Random Number Generators

Tanizaki Hisashi

Journal of economics and business administration　Vol. 197　No. 4　p. 17-30　2008/04

状態空間モデルの紹介と最近の展開

谷崎久志

『計量経済学ハンドブック』 (箕谷千凰彦,縄田和満,和合肇編) 朝倉書店　Vol. 20章　2007　Part of collection (book)

On Estimation of Income and Price Elasticities in the Almost Ideal Demand System using the Bootstrap Method

Mizobuchi Kenichi, Tanizaki Hisashi

Journal of the Japan Statistical Society Japanese issue　Vol. 第36巻, シリーズJ, 第1号　No. 1　p. 161-178　2007　Research paper (scientific journal)

On Estimation of Nonlinear and Nonnormal State Space Model

Vol. 第193巻, 第4号, pp.37-52　No. 4　p. 37-52　2006

On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods

Hisashi Tanizaki, Shigeyuki Hamori, Yoichi Matsubayashi

Statistical Papers　Vol. 47　No. 1　p. 109-124　2006/01　Research paper (scientific journal)

On Small Sample Properties of Permutation Tests: A Significance Test for Regression Models

Tanizaki Hisashi

Kobe University Economic Review　Vol. Vol.52, pp.27-40　p. 27-40　2006　Research paper (bulletin of university, research institution)

An Empirical Analysis on the Business Cycle Transmission between Japan and the United States

Eurasian Review of Economics and Finance　Vol. Vol.2, No.2, pp.1-8　2006　Research paper (scientific journal)

On Estimation of Regional Business Cycle in Japan Using Markov Switching Model

Okumura Hiroshi, Tanizaki Hisashi

Journal of economics and business administration　Vol. 第190巻, 第2号, pp.45-59　No. 2　p. 45-59　2004　Research paper (bulletin of university, research institution)

カーネル密度推定量におけるバンド幅の選択について: モンテカルロ実験による小標本特性

『国民経済雑誌』　Vol. 第191巻, 第1号, pp.59-70　2004　Research paper (bulletin of university, research institution)

Power Comparison of Empirical Likelihood Ratio Tests: Small Sample Properties through Monte Carlo Studies

Tanizaki Hisashi

Kobe University economic review　Vol. Vol.50, pp.13-25　p. 13-25　2004　Research paper (bulletin of university, research institution)

ON ASYMMETRY, HOLIDAY AND DAY-OF-THE-WEEK EFFECTS IN VOLATILITY OF DAILY STOCK RETURNS : THE CASE OF JAPAN

Hisashi Tanizaki, Graduate School of Economics Kobe University

Journal of the Japan Statistical Society　Vol. Vol.34 No.2　No. 2　p. 129-152　2004

EXACT DISTRIBUTIONS OF R^2 AND ADJUSTED R^2 IN A LINEAR REGRESSION MODEL WITH MULTIVARIATE t ERROR TERMS

Kazuhiro Ohtani, Hisashi Tanizaki, Graduate School of Economics Kobe University, Graduate School of Economics Kobe University

Journal of the Japan Statistical Society　Vol. Vol.34, No.1, pp.101-109　No. 1　p. 101-109　2004

On Regression Models with Autocorrelated Error: Small Sample Properties

International Journal of Pure and Applied Mathematics　Vol. Vol.5 No.2 161-175　2003

On Small Sample Properties of Permutation Tests: Independence Test between Two Samples

International Journal of Pure and Applied Mathematics　Vol. Vol.13, No.2, pp.235-243　2003

Note on the sampling distribution for the Metropolis-Hastings algorithm

J Geweke, H Tanizaki

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS　Vol. 32　No. 4　p. 775-789　2003　Research paper (scientific journal)

回帰モデルにおける有意性検定について : 分布に依存しない検定(第399回例会, 経済学研究会報告要旨)

谷崎 久志

神戸大學經濟學研究年報 = The annuals of economic studies　Vol. 第182巻, 第6号, pp.39-51　No. 48　p. 143-143　2002/02/28

Power Comparison between Empirical Likelihood Based Test and t Test : Small Sample Properties by Monte Carlo Experiments

Vol. 第186巻, 第3号, pp.53-64　No. 3　p. 53-64　2002

Nonlinear and Non-Gaussian State-Space Modeling with Monte Carlo Techniques: A Survey and Comparative Study

Handbook of Statistics, Vol.21: Stochastic Processes: Modeling and Simulation, (C.R. Rao and D.N. Shanbhag, Eds.), North-Holland　Vol. Chap.22, pp.871-929　2002　Part of collection (book)

Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling

J Geweke, H Tanizaki

COMPUTATIONAL STATISTICS & DATA ANALYSIS　Vol. 37　No. 2　p. 151-170　2001/08　Research paper (scientific journal)

Estimation of unknown parameters in nonlinear and non-Gaussian state-space models

Hisashi Tanizaki

Journal of Statistical Planning and Inference　Vol. 96　No. 2　p. 301-323　2001/07/01　Research paper (scientific journal)

Posterior analysis of the multiplicative heteroscedasticity model

H Tanizaki, XY Zhang

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS　Vol. 30　No. 5　p. 855-874　2001　Research paper (scientific journal)

Nonlinear and non-gausslan state space modeling using sampling techniques

Hisashi Tanizaki

Annals of the Institute of Statistical Mathematics　Vol. 53　No. 1　p. 63-81　2001　Research paper (scientific journal)

Bias correction of OLSE in the regression model with lagged dependent variables

Hisashi Tanizaki

Computational Statistics and Data Analysis　Vol. 34　No. 4　p. 495-511　2000　Research paper (scientific journal)

Nonliner and Non-Gaussian State Estimation: A Quasi-Optimal Estimator

Communications in Statistics, Theory and Methods　Vol. Vol.29, No.12, pp.2805-2834　2000

Simulation-Based Inference in Nonlinear State Space Models: Application to Testing the Permanent Income Hypothesis

Simulation-Based Inference in Econometrics: Methods and Applications, (R.S. Mariano, M. Weeks and T. Schuermann, Eds.), Cambridge University Press　Vol. Chap.9, pp.218-234　1999

The Time-Varying Parameter Model Revisited

Kobe University Economic Review　Vol. Vol.45, pp.41-57　1999

On Markov chain Monte Carlo methods for nonlinear and non-Gaussian state-space models

J Geweke, H Tanizaki

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION　Vol. 28　No. 4　p. 867-894　1999　Research paper (scientific journal)

Nonlinear and nonnormal filter using importance sampling: Antithetic Monte Carlo integration

H Tanizaki

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION　Vol. 28　No. 2　p. 463-486　1999　Research paper (scientific journal)

On the nonlinear and nonnormal filter using rejection sampling

Hisashi Tanizaki

IEEE Transactions on Automatic Control　Vol. 44　No. 2　p. 314-319　1999　Research paper (scientific journal)

On Evaluation of Expectation : Importance Sampling, Rejection Sampling and Metropolis-Hastings Algorithm

Vol. 第178巻, 第4号, pp.73-85　No. 4　p. 73-85　1998

Nonlinear and nonnormal filters using Monte Carlo methods

Hisashi Tanizaki

Computational Statistics and Data Analysis　Vol. 25　No. 4　p. 417-439　1997/09/30　Research paper (scientific journal)

Non-linear and Non-normal Filter Based on Monte-Carlo Technique

Tanizaki Hisashi

System Analysis, Modeling, Simulation　Vol. Vol.27, No.4, pp.265-280　No. 4　p. 265-280　1997

Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Stochastic Simulations

Journal of Econometrics　Vol. Vol.83, No.1, 2, pp.263-290　1997

Who Made the Bubble?

Kuroki Yoshihiro, Tanizaki Hisashi

Journal of economics and business administration　Vol. 第174巻, 第5号, pp.71-86　No. 5　p. 71-86　1996

Small Sample Properties of Nonparametric Tests by Monte-Carlo Experiments

Tanizaki Hisashi

Journal of economics and business administration　Vol. 第173巻, 第4号, pp.95-107　No. 4　p. 95-107　1996

Power Comparison of Nonparametric Tests: Small Sample Properties from Monte-Carlo Experiments

Journal of Applied Statistics　Vol. Vol.24, No.5, pp.603-632　1996

Nonlinear filters based on Taylor series expansions

H Tanizaki, RS Mariano

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS　Vol. 25　No. 6　p. 1261-1282　1996　Research paper (scientific journal)

Re-Interpretation of Single-Stage Iteration Filter by Mixed Estimation Approach

Tanizaki Hisashi

Vol. 27　No. 1　p. p63-76　1995/09

PREDICTION OF FINAL DATA WITH USE OF PRELIMINARY AND/OR REVISED DATA

RS MARIANO, H TANIZAKI

JOURNAL OF FORECASTING　Vol. 14　No. 4　p. 351-380　1995/07　Research paper (scientific journal)

On a Test for Structural Stability of Euler Conditions Parameters Estimated via Generalived Method of Moments Estimators: Small Sample Properties

Econometric Reviews　Vol. Vol.15, No.1, pp.97-116　1995

Prediction, Filtering and Smoothing in Nonlinear and Nonnormal Cases Using Monte-Carlo Integration

Econometric Inference Using Simulation Techniques, ( H.K. van Dijk, A. Manfort and B.W. Brown, Eds.), John Wiley & Sons　Vol. Chap.12, pp.245-261　1995　Part of collection (book)

Asymptotically Exact Confidence Intervals of Cusum and Cusumsq Tests: A Numerical Derivation Using Simulation Technique

Hisashi Tanizaki

Communications in Statistics - Simulation and Computation　Vol. 24　No. 4　p. 1019-1036　1995　Research paper (scientific journal)

Testing the Stability of a Set of Regression Coefficients through Time

『神戸学院経済学論集』　Vol. 第25巻, 第3,4号, pp.115-122　1993

Kalman Filter Model with Qualitative Dependent Variable

The Review of Economics and Statistics　Vol. Vol.75, No.4, pp.747-752　1993

The State-Space Model with Disturbances Following an ARCH (1) Process

『神戸学院経済学論集』　Vol. 第24巻, 第4号, pp.49-58　1992

<Articles> State-Space Model in Linear Case : A Survey

Tanizaki Hisashi

Vol. 第24巻, 第1号, pp.121-141　No. 1　p. 121-141　1992

Nonlinear Filters: Estimation and Applications

Ph.D. Dissertation, University of Pennsylvania, Graduate Group in Economics　Vol. -　1991　Doctoral thesis

The Kalman filter model under the assumption of the first-order autoregressive process in the disturbance terms

Hisashi Tanizaki

Economics Letters　Vol. 31　No. 2　p. 145-149　1989　Research paper (scientific journal)

On the initial values of Kalman Filter

Tanizaki Hisashi

The Rokkodai ronshu　Vol. 第34巻, 第3号, pp.35-45　No. 3　p. 35-45　1987

「カルマン・フィルター・モデルの理論と応用」

修士論文，神戸大学　Vol. -　1987　Master’s thesis