| Budget Amount *help |
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Outline of Final Research Achievements |
First, we propose dynamic futures hedging models in minimizing downside risks. The results show the possibility that our models perform well and the use of high-frequency measures improves the hedging performance. Second, we investigate a role of time-varying option-implied jump tail risk for predicting credit spreads. We find that the implied jump tail risk could strongly predict lower-rated credit spreads and default spreads in Japan. Third, we calculate realized downside jump variation using high-frequency data. We find that a nontrivial portion of the overall variation would be attributed to the jump variation in periods of very high fluctuation of stock index.
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