Theory and method for large quantile estimation using extreme value theory and its application to economics

• Project/Area Number: 18730144
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Economic statistics
• Research Institution: Yokohama National University
• Principal Investigator: OKIMOTO Tatsuyoshi Yokohama National University, 大学院国際社会科学研究科, 准教授 (70420304)
• Project Period (FY): 2006 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥2,780,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥180,000); Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2007: ¥800,000 (Direct Cost: ¥800,000); Fiscal Year 2006: ¥1,200,000 (Direct Cost: ¥1,200,000)
• Keywords: セミパラメトリック法 / ブートストラップ / コピュラ / マルコフ転換モデル / 平滑推移モデル / MCMC / 国際金融市場の従属構造 / 金融政策 / 極値理論 / 高分位点

Research Abstract

高分位点推定に関して、極値理論を用いた推定量に関する研究を行い、極値理論から導出される高分位点推定量の性質の分析と推定精度の改善を試みた。具体的には、極値順序統計量に関するブートストラップ法を極値理論に基づいた高分位推定量に応用することを提案し、その有効性を確認した。また、マルコフ転換モデルや平滑推移モデルなどの時系列モデルに、多変量の従属関係を分析するために注目されているコピュラという概念を融合する方法を提案し、提案したモデルを用いて、国際金融市場における極値の従属構造を分析した。

Research Products

• [Journal Article] New evidence of asymmetric dependence structures in international equity markets (2008)
  • Author(s): OKIMOTO, Tatsuyoshi
  • Journal Title: Journal of Financial and Quantitative Analysis 43(3) Pages: 787-816
  • Peer Reviewed
• [Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade (2008)
  • Author(s): INOUE, Tomoo and OKIMOTO, Tatsuyoshi
  • Journal Title: Journal of the Japanese and International Economies 22(3) Pages: 320-342
  • NAID: 210000187848
  • Peer Reviewed
• [Journal Article] New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)
  • Author(s): Tatsuyoshi Okimoto
  • Journal Title: Journal of Financial and Quantitative Analysis 43(3) Pages: 787-816
  • Peer Reviewed
• [Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade (2008)
  • Author(s): Tatsuyoshi Okimoto
  • Journal Title: Journal of the Japanese and International Economies 22(3) Pages: 320-342
  • NAID: 210000187848
  • Peer Reviewed
• [Presentation] The interest rate determination when economic variables are partially observable (2008)
  • Author(s): 沖本竜義
  • Organizer: Daiwa Young Researchers' International Workshop on Finance
  • Place of Presentation: 京都大学
• [Presentation] Extreme quantile estimation using extreme value theory (2007)
  • Author(s): 沖本竜義
  • Organizer: 極値理論共同研究集会
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2007-09-26
• [Presentation] New evidence of asymmetric dependence structures in international equity markets (2007)
  • Author(s): 沖本竜義
  • Organizer: 大和ファイナンス研究会
  • Place of Presentation: 京都大学
  • Year and Date: 2007-03-22
• [Presentation] New evidence of asymmetric dependence structures in international equity markets (2007)
  • Author(s): 沖本竜義
  • Organizer: The 2007 International Symposium on Econometric Theory and Applications
  • Place of Presentation: Hong Kong University of Sciences and Technology
• [Presentation] Extreme quantile estimation using extreme value theory (2007)
  • Author(s): 沖本竜義
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 横浜シンポジア
• [Presentation] New evidence of asymmetric dependence structures in international equity markets (2006)
  • Author(s): 沖本竜義
  • Organizer: 横浜国立大学・南山大学合同ファイナンスワークショップ
  • Place of Presentation: 横浜国立大学
  • Year and Date: 2006-02-11
• [Presentation] Time-varying dependence in international equity markets (2006)
  • Author(s): 沖本竜義
  • Organizer: 統計関連学会連合大会
  • Place of Presentation: 東北大学
• [Presentation] New evidence of asymmetric dependence structures in international equity markets (2006)
  • Author(s): 沖本竜義
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 神戸大学