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Testing for the dimension of the nonlinear state space model using particle filter

Research Project

Project/Area Number 15K03394
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionYokohama National University

Principal Investigator

Kobayashi Masahito  横浜国立大学, 大学院国際社会科学研究院, 教授 (60170354)

Project Period (FY) 2015-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Keywordscopula / stochastic volatility / state space model / particle filter / maximum likelihood / 粒子フィルター / 最尤推定 / 非対称性 / Stochastic volatility / ラグランジュ乗数検定 / 分布の退化の検定 / Stochastic Volatility / 非線形カルマンフィルター / Lagrange 乗数検定
Outline of Final Research Achievements

In this project I have obtained the Lagrange multiplier test for the null hypothesis that bivariate time series has a single volatility process in common against the alternative hypothesis that the two series have different volatility process. This test can be used to check that two financial returns has a common factor of volatility changed and hence that the cause of financial turmoil can be identified.
I also developed a new asymmetric copula which is more flexible than the popular Joe-Clayton copula and obtained a model where asymmetric dependence of bivariate financial time series changes over time in the fame work of the state-space model. and estimated it using particle filter method. These models were applied to actual financial data.

Report

(4 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (3 results)

All 2017 Other

All Int'l Joint Research (2 results) Journal Article (1 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 1 results,  Acknowledgement Compliant: 1 results)

  • [Int'l Joint Research] National Tsing Hua University(Taiwan)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research]

    • Related Report
      2016 Research-status Report
  • [Journal Article] Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models,2017

    • Author(s)
      Chen, J., Kobayashi, M. and McAleer, M.
    • Journal Title

      Journal of the Japan Statistical Socienty

      Volume: 47 Pages: 13-36

    • NAID

      130006292364

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research / Acknowledgement Compliant

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Published: 2015-04-16   Modified: 2022-02-16  

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