論文



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  1. A. Saito and H. Tanizaki (2024) "Volatility and returns of ESG indices: evidence from Japan", SN Business & Economics, Vol.4, No.34.(DOI)

  2. Z. Lu and H. Tanizaki (2023) "The response of gold to the COVID-19 pandemic", Studies in Economics and Finance, Vol.40, No.5, pp.859-877. (DOI)

  3. G. Duan and H. Tanizaki (2022) "A Study on Market Efficiency with the Indexes of SSEC and SZSEC of China", Journal of Asian Finance, Economics and Business, Vol.9, No.9, pp.1-8. (DOI)

  4. D. Ma and H. Tanizaki (2022) "Intraday Patterns of Price Clustering in Bitcoin", Financial Innovation, Vol.8, No.4. (DOI).

  5. D. Ma and H. Tanizaki (2021) "Fat-tailed stochastic volatility model and the stock market returns in China", China Finance Review International, Vol.11, No.2, pp.170-184. (DOI).

  6. D. Ma and H. Tanizaki (2019) "On the day-of-the-week effects of Bitcoin markets: international evidence", China Finance Review International, Vol.9, No.4, pp.455-478. (DOI).

  7. D. Ma and H. Tanizaki (2019) "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Vol.49, pp.127-136. (DOI).

  8. 保元大輔・谷崎久志 (2015) 「東日本大震災が大阪市の住宅価格に与えた影響について： 中古マンション価格を例にとって」『大阪大学経済学』第65巻，第2号，pp.39-55． Download (PDF file)

  9. K. Mizobuchi and H. Tanizaki (2014) "On Estimation of Almost Ideal Demand System Using Moving Blocks Bootstrap and Pairs Bootstrap Methods," Empirical Economics, Vol.47, No.4, pp.1221-1250. (DOI)

  10. 谷崎久志 (2012) 「日本における株価，外国為替レート，金利のボラティリティの相互作用に関する分析」 『経済学論究』第66巻, 第1号, pp.29-46. Download (PDF file)

  11. 谷崎久志 (2010) 「株価，為替，金利のボラティリティの変動要因・相互依存関係について： ノンパラメトリック推定の応用」 『国民経済雑誌』第201巻, 第3号, pp.15-28. Download (PDF file)

  12. H. Tanizaki and A. Namba (2010) "Simulation Studies on Cressie-Read Power Divergence Test Statistic under Empirical Likelihood Setup," Kobe University Economic Review, Vol.55, pp.35-51. Download (PDF file)

  13. H. Tanizaki and S. Hamori (2009) "Volatility Transmission between Japan, UK and USA in Daily Stock Returns," Empirical Economics, Vol.36, No.1, pp.27-54. Download (PDF file)

  14. 谷崎久志 (2008) 「ガンマ乱数の生成方法について」 『国民経済雑誌』第197巻, 第4号, pp.17-30. Download (PDF file)

  15. H. Tanizaki (2008) "A Simple Gamma Random Number Generator for Arbitrary Shape Parameters," Economics Bulletin, Vol.3, No.7, pp.1-10. Download (PDF file)

  16. 溝渕健一・谷崎久志 (2007) 「AI 需要システムによる弾力性の推定について： ブートストラップ法の応用」 『日本統計学会誌』第37巻, シリーズJ, 第1号, pp.161-178. Download (PDF file)

  17. H. Tanizaki (2007) "On Small Sample Properties of Permutation Tests: A Significance Test for Regression Models," Kobe University Economic Review, Vol.52, pp.27-40. Download (PDF file)

  18. S. Hamori, H. Tanizaki and Y. Matsubayashi (2006) "An Empirical Analysis on the Business Cycle Transmission between Japan and the United States," The Eurasian Review of Economics and Finance, Vol.2, No.2, pp.1-8. Download (PDF file)

  19. 谷崎久志 (2006) 「非線形・非正規状態空間モデルの推定について」 『国民経済雑誌』第193巻, 第4号, pp.37-52. Download (PDF file)

  20. H. Tanizaki, S. Hamori and Y. Matsubayashi (2006) "On Least-Squares Bias in the AR(p) Models: Bias Correction Using the Bootstrap Methods," Statistical Papers, Vol.47, No.1, pp.109-124. Download (PDF file)

  21. 谷崎久志 (2005) 「密度関数のカーネル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』第191巻, 第1号, pp.59-70. Download (PDF file)

  22. H. Tanizaki (2005) "Power Comparison of Empirical Likelihood Ratio Tests: Small Sample Properties through Monte Carlo Studies," Kobe University Economic Review, Vol.50, pp.13-25. Download (PDF file)

  23. H. Tanizaki (2004) "On Asymmetry, Holiday and Day-of-the-Week Effects in Volatility of Daily Stock Returns: The Case of Japan," Journal of the Japan Statistical Society, Vol.34, No.2, pp.129-152. Download (PDF file)

  24. 奥村拓史・谷崎久志 (2004) 「マルコフ・スイッチング・モデルによる我が国の地域経済別景気の転換点の推定」 『国民経済雑誌』第190巻, 第2号, pp.45-59. Download (PDF file)

  25. K. Ohtani and H. Tanizaki (2004) "Exact Distributions of R2 and Adjusted R2 in a Linear Regression Model with Multivariate t Error Terms," Journal of the Japan Statistical Society, Vol.34, No.1, pp.101-109. Download (PDF file)

  26. H. Tanizaki (2004) "On Small Sample Properties of Permutation Tests: Independence Test between Two Samples," International Journal of Pure and Applied Mathematics, Vol.13, No.2, pp.235-243. Download (PDF file)

  27. H. Tanizaki (2003) "On Regression Models with Autocorrelated Error: Small Sample Properties," International Journal of Pure and Applied Mathematics, Vol.5, No.2, pp.161-175. Download (PDF file)

  28. J. Geweke and H. Tanizaki (2003) "Note on the Sampling Density for the Metropolis-Hastings Algorithm," Communications in Statistics, Theory and Methods, Vol.32, No.4, pp.775-789. Download (PDF file)

  29. 谷崎久志 (2002) 「経験尤度に基づく検定と t 検定との検出力比較： モンテ・カルロ実験による小標本特性」 『国民経済雑誌』第186巻, 第3号, pp.53-64. Download (PDF file)

  30. J. Geweke and H. Tanizaki (2001) "Bayesian Estimation of State-Space Model Using the Metropolis-Hastings Algorithm within Gibbs Sampling," Computational Statistics and Data Analysis, Vol.37, No.2, pp.151-170. Download (PDF file)

  31. H. Tanizaki and X. Zhang (2001) "Posterior Analysis of the Multiplicative Heteroscedasticity Model," Communications in Statistics, Theory and Methods, Vol.30, No.5, pp.855-874. Download (PDF file)

  32. H. Tanizaki (2001) "Estimation of Unknown Parameters in Nonlinear and Non-Gaussian State Space Models," Journal of Statistical Planning and Inference, Vol.96, No.2, pp.301-323. Download (PDF file)

  33. H. Tanizaki (2001) "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Vol.53, No.1, pp.63-81. Download (PDF file)

  34. 谷崎久志 (2000) 「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」 『国民経済雑誌』第182巻, 第6号, pp.39-51. Download (PDF file)

  35. H. Tanizaki (2000) "Nonlinear and Non-Gaussian State Estimation: A Quasi-Optimal Estimator," Communications in Statistics, Theory and Methods, Vol.29, No.12, pp.2805-2834. Download (PDF file)

  36. H. Tanizaki (2000) "Bias Correction of OLSE in the Regression Model with Lagged Dependent Variables," Computational Statistics and Data Analysis, Vol.34, No.4, pp.495-511. Download (PDF file)

  37. H. Tanizaki (2000) "Time-Varying Parameter Model Revisited," Kobe University Economic Review, Vol.45, pp.41-57. Download (PDF file)

  38. J. Geweke and H. Tanizaki (1999) "On Markov Chain Monte Carlo Methods for Nonlinear and Non-Gaussian State-Space Models," Communications in Statistics, Simulation and Computation, Vol.28, No.4, pp.867-894. Download (PDF file)

  39. H. Tanizaki (1999) "Nonlinear and Nonnormal Filter Using Importance Sampling: Antithetic Monte-Carlo Integration," Communications in Statistics, Simulation and Computation, Vol.28, No.2, pp.463-486. Download (PDF file)

  40. H. Tanizaki (1999) "On the Nonlinear and Nonnormal Filter Using Rejection Sampling," IEEE Transactions on Automatic Control, Vol.44, No.2, pp.314-319. Download (PDF file)

  41. 谷崎久志 (1998) 「期待値の評価方法に関する考察：重点的サンプリング，棄却法，Metropolis-Hastings アルゴリズムの比較」 『国民経済雑誌』第178巻, 第4号, pp.73-85. Download (PDF file)

  42. H. Tanizaki and R.S. Mariano (1998) "Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Simulations," Journal of Econometrics, Vol.83, No.1&2, pp.263-290. Download (PDF file)

  43. H. Tanizaki (1997) "Power Comparison of Nonparametric Tests: Small Sample Properties from Monte-Carlo Experiments," Journal of Applied Statistics, Vol.24, No.5, pp.603-632. Download (PDF file)

  44. H. Tanizaki (1997) "Nonlinear and Nonnormal Filters Using Monte Carlo Methods," Computational Statistics and Data Analysis, Vol.25, No.4, pp.417-439. Download (PDF file)

  45. H. Tanizaki (1997) "Non-linear and Non-normal Filter Based on Monte-Carlo Technique," System Analysis, Modeling, Simulation, Vol.27, No.4, pp.265-280. Download (PDF file)

  46. 黒木祥弘・谷崎久志 (1996) 「バブルの発生・加速要因に関する考察： 市中銀行と日本銀行」 『国民経済雑誌』第174巻, 第5号, pp.71-86. Download (PDF file)

  47. H. Tanizaki and R.S. Mariano (1996) "Nonlinear Filters Based on Taylor Series Expansions," Communications in Statistics, Theory and Methods, Vol.25, No.6, pp.1261-1282. Download (PDF file)

  48. 谷崎久志 (1996) 「ノンパラメトリック検定のモンテ・カルロ実験による小標本特性」 『国民経済雑誌』第173巻, 第4号, pp.95-107. Download (PDF file)

  49. S. Hamori, S. Kitasaka and H. Tanizaki (1996) "On a Test for Structural Stability of Euler Conditions Parameters Estimated via Generalized Method of Moments Estimators: Small Sample Properties," Econometric Reviews, Vol.15, No.1, pp.97-116. Download (PDF file)

  50. H. Tanizaki (1995) "Asymptotically Exact Confidence Intervals of CUSUM and CUSUMSQ Tests: A Numerical Derivation Using Simulation Technique," Communications in Statistics, Simulation and Computation, Vol.24, No.4, pp.1019-1036. Download (PDF file)

  51. H. Tanizaki (1995) "Re-Interpretation of Single-Stage Iteration Filter by Mixed Estimation Approach" 『神戸学院経済学論集』第27巻, 第1,2号, pp.63-76. Download (PDF file)

  52. R.S. Mariano and H. Tanizaki (1995) "Prediction of Final Data with Use of Preliminary and/or Revised Data," Journal of Forecasting, Vol.14, No.4, pp.351-380. Download (PDF file)

  53. H. Tanizaki (1994) "Reconsideration of the Nonlinear Filters based on Taylor Series Expansion" 『神戸学院経済学論集』 第26巻, 第2号, pp.1-26. Download (PDF file)

  54. H. Tanizaki and R.S. Mariano (1994) "Prediction, Filtering and Smoothing in Nonlinear and Nonnormal Cases using Monte-Carlo integration," Journal of Applied Econometrics, Vol.9, No.2, pp.163-179. Download (PDF file)

  55. H. Tanizaki (1994) "Testing the Stability of a Set of Regression Coefficients through Time" 『神戸学院経済学論集』 第25巻, 第3,4号, pp.115-122. Download (PDF file)

  56. H. Tanizaki (1993) "Kalman Filter Model with Qualitative Dependent Variable," The Review of Economics and Statistics, No.75, No.4, pp.747-752. Download (PDF file)

  57. H. Tanizaki (1993) "The State-Space Model with Disturbances Following an ARCH(1) Process" 『神戸学院経済学論集』 第24巻, 第4号, pp.49-58. Download (PDF file)

  58. H. Tanizaki (1992) "State-Space Model in Linear Case: A Survey" 『神戸学院経済学論集』 第24巻, 第1号, pp.121-141. Download (PDF file)

  59. H. Tanizaki (1991) "Nonlinear Filters: Estimation and Applications," Ph.D. Dissertation, University of Pennsylvania, Department of Economics.

  60. H. Tanizaki (1989) "The Kalman Filter Model under the Assumption of the First-Order Autoregressive Process in the Disturbance Terms," Economics Letters, Vol.31, No.2, pp.145-149. Download (PDF file)

  61. 谷崎久志 (1987) 「カルマン・フィルター・モデルの初期値に関する考察」 『六甲台論集』 第34巻, 第3号, pp.35-45. Download (PDF file)

  62. 谷崎久志 (1987) 「カルマン・フィルター・モデルの理論と応用」 修士論文，神戸大学経済学部.