程島 次郎

The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data 

Journal of Risk and Financial Management 2020年11月20日  

Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan 

Asia-Pacific Financial Markets 27(2) 155-174 2020年6月14日  査読有り

Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility 

Finance Research Letters 28 221-229 2019年  査読有り

normal mixtureのファイナンスへの応用 

オイコノミカ 54(1) 3-13 2017年7月  招待有り

Reexamination of the robustness of the Fama-French three factor model 

Far East Journal of Theoretical Statistics 52 215-234 2016年  査読有り

On the properties of the likelihood function of spanos' conditional t heteroskedastic model 

Communications in Statistics - Theory and Methods 43(3) 578-598 2014年  査読有り

The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in spanos conditional t heteroskedastic model 

Communications in Statistics: Simulation and Computation 42(8) 1727-1749 2013年  査読有り

Bootstrapping stochastic regression models under homoskedasticity: Wild bootstrap vs. pairs bootstrap 

Journal of Statistical Computation and Simulation 80(11) 1225-1235 2010年  

The asymptotic covariance matrix of the least squares estimator in the stochastic linear regression model: The case of elliptically symmetric distribution 

Communications in Statistics - Theory and Methods 38(5) 661-674 2009年  

A simulation study of white's test for heteroskedasticity in fixed and Stochastic regression models 

Communications in Statistics: Simulation and Computation 37(5) 897-906 2008年  

A note on bootstrapped White's test for heteroskedasticity in regression models 

Economics Letters 97(1) 46-51 2007年  

The finite-sample performance of white's test for heteroskedasticity under stochastic regressors 

Communications in Statistics: Simulation and Computation 36(6) 1201-1215 2007年