| Project/Area Number |
01301075
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| Research Category |
Grant-in-Aid for Co-operative Research (A)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | University of Tokyo |
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Principal Investigator |
KUNITOMO Naoto University of Tokyo, Faculty of Economics, Associate Professor, 経済学部, 助教授 (10153313)
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| Co-Investigator(Kenkyū-buntansha) |
TSUKUDA Yoshihiko Tohoku University, Faculty of Economics, Professor, 経済学部, 教授 (10091836)
WAGO Hajime Toyama University, Faculty of Economics, Professor, 経済学部, 教授 (00091934)
SHIBA Tsunemasa University of Tsukuba, Institute of Socio-Economic Planning, Associate Professor, 社会工学系, 助教授 (90187386)
MORIMUNE Kimio Kyoto University, The Kyoto Institute of Economic Research, Professor, 経済研究所, 教授 (20109078)
YAMAMOTO Taku University of Tsukuba, Institute of Socio-Economic Planning, Professor, 社会工学系, 教授 (50104716)
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| Project Period (FY) |
1989 – 1990
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| Project Status |
Completed (Fiscal Year 1990)
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| Budget Amount *help |
¥4,900,000 (Direct Cost: ¥4,900,000)
Fiscal Year 1990: ¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1989: ¥2,900,000 (Direct Cost: ¥2,900,000)
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| Keywords | Financial Market / Econometric Analysis / Japanese Economy / Finance / Time Series Analysis / Stock Returns / Factor Models / Kalman Filter / 確率過程 / 時系列 / 非定常性 / 非正規性 |
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| Research Abstract |
The main purpose of this research project was to develop new econometric methods and apply them to analyze the data in Japanese financial markets.
As for the theoretical side of the project, we have examined mainly statistical problems such as the unit root problem and the noninvertibility problem in the time series analysis from both the standard sampling approach and the Bayesian approach. Also we have proposed a new estimation method of the volatility parameter in a continuous time stochastic model.
We also have conducted a number of empirical studies using the data in Japanese financial markets. We found that the distributions of stock returns are often different from the normal distributions and have large kurtosis as in the United States. We also have investigated the time varying systematicrisks and developed a dynamic factor model for the Japanese stock markets.
The members of the project have written a large number of papers with the financial assistance of this project. Some of them have been already published in academic journals and the rest of them are available as working papers. The complete list of our papers have been given in our formal report.
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