Inference based on stopping times for econometric models represented by random fields

• Project/Area Number: 19530179
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Yokohama National University
• Principal Investigator: 永井 圭二 Yokohama National University, 大学院・国際社会科学研究科, 教授 (50311866)
• Project Period (FY): 2007 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥2,730,000 (Direct Cost: ¥2,100,000、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)
• Keywords: 計量経済学 / ファイナンス / 停止時刻 / オンラインリスク管理 / 逐次統計学 / 経済統計

Research Abstract

本研究では停止時刻を用いた統計的推測の理論についての研究を行い、応用としてオンラインモニタリングへの適用を考えた。特に、(1)経済時系列が定常的であるか爆発的であるかのモニタリング、(2)金融資産価格のリスク管理に用いることができる変動性のオンライン推定方法、(3)ベンチャー企業の倒産、合併、上場のオンラインモニタリングについて考察した。

Research Products

• [Journal Article] Nonparametric Estimation Methods of Integrated Multivariate Volatilities (2008)
  • Author(s): Hoshikawa, T., T. Kanatani, K. Nagai, Y. Nishiyama
  • Journal Title: Econometric Reviews 27:1 Pages: 112-138
  • Peer Reviewed
• [Journal Article] Nonparametric Estimation Methods of Integrated Multivariate Volatilities (2008)
  • Author(s): Toshiya Hoshikawa
  • Journal Title: Econometric Reviews 27:1 Pages: 112-138
  • Peer Reviewed
• [Presentation] Prediction of failure and IPO of ventures in multiplicative intensity model with time varying covariates (2009)
  • Author(s): Nagai, K., Z. Song
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 神戸大学
  • Year and Date: 2009-01-10
• [Presentation] Prediction of failure and IPO of ventures in multiplicative intensity mode1 with time varying covariates (2009)
  • Author(s): Nagai, K.
  • Organizer: 関西計量経済学研究会~
  • Place of Presentation: 神戸大学
  • Year and Date: 2009-01-10
• [Presentation] Asymptotics of sequential tests for some Markov chains via convergence to diffusion (2008)
  • Author(s): Nagai, K., K. Hitomi, Y. Nishiyama
  • Organizer: Recent Developments in Statistics and Econometrics in Honor of H. Akaike
  • Place of Presentation: Shiran-kaikan, Kyoto University
  • Year and Date: 2008-11-06
• [Presentation] Asymptotics of sequential tests for some Markov chain svia convergence to diffusion (2008)
  • Author(s): Nagai, K.
  • Organizer: Recent Developments in Statistics and Econometric~ In Honor of H. Akaike~
  • Place of Presentation: Shiran- kaikan, Kyoto University
  • Year and Date: 2008-11-06
• [Presentation] 単位根と分岐過程のcriticality の逐次検定 (2008)
  • Author(s): 永井圭二、人見光太郎、西山慶彦
  • Organizer: 日本統計学会
  • Place of Presentation: 成城大学
  • Year and Date: 2008-03-01
• [Presentation] 単位根と分岐過程のcriticalityの逐次検定 (2008)
  • Author(s): 永井圭二
  • Organizer: 日本統計学会
  • Place of Presentation: 成城大学
  • Year and Date: 2008-03-01
• [Presentation] Nonparametric Estimation of Multivariate Volatilities for Non-synchronous Observations (2007)
  • Author(s): 永井圭二, 宋明子
  • Organizer: 日本統計関連学会連合大会
  • Place of Presentation: 神戸大学
  • Year and Date: 2007-09-08
• [Presentation] Sequential Unit Root Test (2007)
  • Author(s): Keiji Nagai
  • Organizer: Russian-Japan Workshop Complex Stochastic Models: Asymptotics and Applications
  • Place of Presentation: Steklov Institute Moskow
  • Year and Date: 2007-06-04
• [Presentation] Sequential Unit Root Test (2006)
  • Author(s): Nagai, K., K. Hitomi, Y. Nishiyama
  • Organizer: Russian-Japan Workshop Complex Stochastic Models : Asymptotics and Applications
  • Place of Presentation: Steklov Institute, Moscow, Russia
  • Year and Date: 2006-06-04