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Extensions of spatio-temporal volatility models and examinations of spatio-temporal spillover effects of volatility

Research Project

Project/Area Number 19K23216
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeMulti-year Fund
Review Section 0107:Economics, business administration, and related fields
Research InstitutionTohoku University

Principal Investigator

Sato Takaki  東北大学, ヨッタインフォマティクス研究センター, 特任助教 (80848078)

Project Period (FY) 2019-08-30 – 2022-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords時空間統計モデル / ボラティリティ / 空間計量経済学 / 空間重み行列
Outline of Research at the Start

多変量ボラティリティモデルには観測個体が増加するにつれて推定すべきパラメーターの数が爆発的に増大する次元の呪いと呼ばれる問題が存在する。時空間ボラティリティモデルでは空間計量経済学のアイデアを応用することでこの問題を解決する。本研究ではこれまでに提案した時空間ボラティリティモデルを次の3点において拡張することで、ボラティリティの株式間の時空間波及効果のより精緻な分析を行う。1点目は金融商品間の影響の非対称性を考慮する点である。2点目は空間相関が時変することを考慮する点である。そして、3点目は空間重み行列の内生性を考慮することである。

Outline of Final Research Achievements

In this study, we developed a spatio-temporal volatility model that combines a spatial statistics model with a volatility model, which is one of the finance statistics models. We then derived a pseudo-maximum likelihood estimator for estimating parameters in the model and proved the asymptotic properties of the estimator. The proposed model was then applied to simulated data to investigate the small-sample properties of the estimator. and to real data on stocks to investigate the spillover effects of shocks within financial instruments.

Academic Significance and Societal Importance of the Research Achievements

本研究はファイナンス統計学と空間統計学の2つの分野に関連する研究であり、各分野において次の重要な意義をもつ。 ファイナンス統計学の分野では、高次元の多変量ボラティリティモデルが持つ問題である次元の呪いに対する一つの解決法を示す。空間重み行列を用いて時空間ボラティリティモデルを開発することで推定するパラメーターの数を減らし、次元の呪いを解決する。 空間統計学の分野では、新しい視点として、これまで重点がおかれていたデータの平均構造のモデル化に加えて、分散構造のモデル化の重要性を示す。

Report

(4 results)
  • 2021 Annual Research Report   Final Research Report ( PDF )
  • 2020 Research-status Report
  • 2019 Research-status Report
  • Research Products

    (13 results)

All 2022 2021 2020 2019

All Journal Article (4 results) (of which Peer Reviewed: 2 results) Presentation (9 results) (of which Int'l Joint Research: 4 results,  Invited: 2 results)

  • [Journal Article] Spatial analysis of subjective well-being in Japan2022

    • Author(s)
      Li Anqi、Sato Takaki、Matsuda Yasumasa
    • Journal Title

      Japanese Journal of Statistics and Data Science

      Volume: Forthcoming Issue: 1 Pages: 1-24

    • DOI

      10.1007/s42081-021-00143-x

    • NAID

      210000178657

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Spatial Extension of Mixed Analysis of Variance Models2021

    • Author(s)
      Takaki Sato & Yasumasa Matsuda
    • Journal Title

      Data Science and Service Research Discussion paper

      Volume: 120 Pages: 1-13

    • NAID

      120006957901

    • Related Report
      2020 Research-status Report
  • [Journal Article] Spatial extension of generalized autoregressive conditional heteroskedasticity models2020

    • Author(s)
      Takaki Sato and Yasumasa Matsuda
    • Journal Title

      Spatial Economic Analysis

      Volume: 16 Issue: 2 Pages: 1742-1780

    • DOI

      10.1080/17421772.2020.1742929

    • Related Report
      2021 Annual Research Report 2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] Estimation of Partially Linear Spatial Autoregressive Models with Autoregressive Disturbances2019

    • Author(s)
      Takaki Sato
    • Journal Title

      Data science and service research discussion paper

      Volume: 104 Pages: 1-24

    • NAID

      120006767964

    • Related Report
      2019 Research-status Report
  • [Presentation] Spatial Dynamic Panel Models for Multilevel Dataset with Applications to Japanese Happiness Surveys2021

    • Author(s)
      Takaki Sato, Yasumasa Matsuda
    • Organizer
      The XV World Conference of Spatial Econometrics Association
    • Related Report
      2021 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 空間統計モデルを用いたCOVID-19の主観的幸福度への影響に関する実証分析 ~どのような人々がCOVID-19の影響を大きく受けたのか?~2021

    • Author(s)
      佐藤宇樹
    • Organizer
      第20回情報科学技術フォーラム
    • Related Report
      2021 Annual Research Report
    • Invited
  • [Presentation] 空間統計モデルを用いたCOVID-19の主観的幸福度への影響に関する実証分析 ~どのような人々がCOVID-19の影響を大きく受けたのか?~2021

    • Author(s)
      佐藤宇樹、松田安昌、Li Anqi
    • Organizer
      2021年度ヒューマン情報処理研究会
    • Related Report
      2021 Annual Research Report
    • Invited
  • [Presentation] 多変量空間MAモデル2020

    • Author(s)
      佐藤宇樹
    • Organizer
      2020年度統計関連学会連合大会
    • Related Report
      2020 Research-status Report
  • [Presentation] Spatial Extension of GARCH Models for High-dimensional Financial Time Series2019

    • Author(s)
      Takaki Sato, Yasumasa Matsuda
    • Organizer
      The 62nd ISI World Statistics Congress
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] SAR(p)-GARCH(k, l) Models for High-Dimensional Financial Time Series2019

    • Author(s)
      Takaki Sato, Yasumasa Matsuda
    • Organizer
      2019 KSS Fall Conference
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] SAR(p)-GARCH(k, l) Models for High-Dimensional Financial Time Series2019

    • Author(s)
      Takaki Sato, Yasumasa Matsuda
    • Organizer
      12th World Conference of the spatial econometrics association
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] SAR(p)-GARCH(k, l) Models for High-Dimensional Financial Time Series2019

    • Author(s)
      佐藤宇樹, 松田安昌
    • Organizer
      2019年度統計関連学会連合大会
    • Related Report
      2019 Research-status Report
  • [Presentation] Estimation of Partially Linear Spatial Autoregressive Models with Autoregressive Disturbances2019

    • Author(s)
      Takaki Sato
    • Organizer
      International Workshop on Marketing and Data Science
    • Related Report
      2019 Research-status Report

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Published: 2019-09-03   Modified: 2023-01-30  

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