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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
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. GlennD. 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.
    8. 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.
    9. 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..
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2017. "Economics of Pessimism and Optimism," Springer Books, Springer, number 978-4-431-55903-0, December.
    15. 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.
    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.
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    Cited by:

    1. 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.
    2. 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.
    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. 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.

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