Estimating the latent factors in financial time series by using Monte Carlo Filter

• Project/Area Number: 18500222
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Statistical science
• Research Institution: The Institute of Statistical Mathematics
• Principal Investigator: SATO Seisho The Institute of Statistical Mathematics, データ科学研究系, 准教授 (60280525)
• Research Collaborator: 陳 春航 琉球大学, 理学部, 准教授 ; 矢野 浩一 内閣府, 経済社会総合研究所, 研究員
• Project Period (FY): 2006 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥3,730,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥630,000); Fiscal Year 2008: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2007: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000); Fiscal Year 2006: ¥1,000,000 (Direct Cost: ¥1,000,000)
• Keywords: ボラティリティ / 状態空間モデル / 実現分散 / 高頻度データ / 投資信託 / 時系列解析 / 金融データ / GARCHモデル / 計算機統計学 / モンテカルロフィルタ / 非対称性 / 計量ファイナンス / 数理ファイナンス / 計算統計学 / 自己組織化

Research Abstract

金融時系列における潜在要因の推定についてさまざまなモデルについて研究を行った。特に資産価格のボラティリティの推定について2つの成果が得られた。1つは新しいJump-GARCHモデルを提案し、実際のデータに適用してボラティリティの推定、予測を行った。もうひとつは高頻度データを使った実現ボラティリティの推定法について新しい手法の開発を行い、その有効性をシミュレーションおよび実際のデータを使って調べた。

Research Products

• [Journal Article] Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise (2008)
  • Author(s): Naoto Kunitomo and Seisho Sato
  • Journal Title: CIRJE Discussion Papers CIRJE-F-601 Pages: 0-0
• [Journal Article] Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise (2008)
  • Author(s): Naoto Kunitomo and Seisho Sato
  • Journal Title: CIRJE Discussion Papers CIRJE-F-581 Pages: 0-0
• [Journal Article] Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis (2008)
  • Author(s): Chen, C, Sato, S.
  • Journal Title: COMPSTAT : Proceedings in Computational Statistics 18th Symposium Held in Porto Pages: 217-228
  • Peer Reviewed
• [Journal Article] Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise (2008)
  • Author(s): Naoto Kunitomo, Seisho Sato
  • Journal Title: CIRJE Discussion Papers CIRJE-F-581
• [Journal Article] Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise (2008)
  • Author(s): Naoto Kunitomo, Seisho Sato
  • Journal Title: CIRJE Discussion Papers CIRJE-F-601
• [Journal Article] 時系列モデルを用いた経済分析 (2007)
  • Author(s): 佐藤整尚
  • Journal Title: 総研大ジャーナル 12号 Pages: 10-13
• [Journal Article] Jump-GARCH models and jump dynamics in financial asset prices (2007)
  • Author(s): Chen, C. and Sato, S.
  • Journal Title: Bulletin of the International Statistical Institute Pages: 0-0
  • Peer Reviewed
• [Journal Article] Jump-GARCH models and jump dynamics in financial asset prices (2007)
  • Author(s): Chen, C.and Sato, S.
  • Journal Title: Bulletin of the International Statistical Institute
  • Peer Reviewed
• [Journal Article] 時系列モデルを用いた経済分析 (2007)
  • Author(s): 佐藤 整尚
  • Journal Title: 総研大ジャーナル 12号 Pages: 10-13
• [Journal Article] 初期分布探索付き自己組織化状態空間モデルによる金融時系列解析の最前線 : t分布付き確率的ボラティリティ変動モデルへの応用 (2007)
  • Author(s): 矢野浩一, 佐藤整尚
  • Journal Title: FSAリサーチ・レビュー 2006年号 Pages: 143-166
  • NAID: 40015445023
• [Journal Article] Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis (2000)
  • Author(s): Chen, C and Sato, S.
  • Journal Title: COMPSTAT: Proceedings in Computational Statistics 18th Symposium Held in Porto Pages: 0-0
  • Peer Reviewed
• [Presentation] Multivariate Stochastic Volatility Models with Dual Dynamic Correlations: A Monte Carlo Particle Filtering Approach (2008)
  • Author(s): Koiti Yano
  • Organizer: IASC2008
  • Place of Presentation: 横浜
  • Year and Date: 2008-12-07
• [Presentation] Multivariate Stochastic Volatility Models with Dual Dynamic Correlations : A Monte Carlo Particle Filtering Approach (2008)
  • Author(s): Koiti Yano
  • Organizer: IASC2008
  • Place of Presentation: 横浜
  • Year and Date: 2008-12-07
• [Presentation] Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise (2008)
  • Author(s): Seisho Sato
  • Organizer: International Conference"High-Frequency Data Analysis in Financial Markets"
  • Place of Presentation: 東京
  • Year and Date: 2008-10-25
• [Presentation] Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise (2008)
  • Author(s): Seisho Sato
  • Organizer: International Conference “High-Frequency Data Analysis in Financial Markets"
  • Place of Presentation: 東京
  • Year and Date: 2008-10-25
• [Presentation] Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis (2008)
  • Author(s): Chunhang Chen
  • Organizer: COMPSTAT2008
  • Place of Presentation: ポルト
  • Year and Date: 2008-08-29
• [Presentation] Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis (2008)
  • Author(s): Chunhang Chen
  • Organizer: COMPSTAT2008
  • Place of Presentation: ボルト
  • Year and Date: 2008-08-29
• [Presentation] 上下で異なったジャンプ構造を持つGARCHモデルについて (2007)
  • Author(s): 佐藤整尚
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 神戸
  • Year and Date: 2007-09-08
• [Presentation] Jump-GARCH models and jump dynamics in financial asset prices (2007)
  • Author(s): C. Chen
  • Organizer: ISI2007
  • Place of Presentation: リスボン
  • Year and Date: 2007-08-23
• [Presentation] 新しい季節調整プログラムの構想について-Decompの改良 (2007)
  • Author(s): 佐藤整尚
  • Organizer: 日本計算機統計学
  • Place of Presentation: 倉敷
  • Year and Date: 2007-05-30
• [Presentation] 新しい季節調整プログラムの構想について-Decompの改良 (2007)
  • Author(s): 佐藤 整尚
  • Organizer: 日本計算機統計学会
  • Place of Presentation: 倉敷
  • Year and Date: 2007-05-30